Modelling heterogeneity and dynamics in the volatility of individual wages

This paper presents a model for the heterogeneity and dynamics of the conditional mean and conditional variance of individual wages. A bias-corrected likelihood approach, which reduces the estimation bias to a term of order 1/T², is used for estimation and inference. The small-sample performance of...

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Veröffentlicht in:	Journal of applied econometrics (Chichester, England) England), 2012-04, Vol.27 (3), p.386-414
1. Verfasser:	Hospido, L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Analytical estimating Bias Data models Dynamic models Economic models Economic theory Empirical tests Estimation Estimation bias Estimation methods Estimators Heterogeneity Inference Maximum likelihood estimation Maximum likelihood method Modeling Monte Carlo simulation Sampling bias Statistical variance Studies Variance Wages Wages & salaries
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