Uncertainty , Persistence , and Heterogeneity : a Panel Data Perspective

  title={Uncertainty , Persistence , and Heterogeneity : a Panel Data Perspective},
  author={Manuel Arellano},
The purpose of this paper is to review newly developed identification and estimation tools that are relevant for the analysis of dynamic dependence structures of income risk. I present an application to nonlinear permanent–transitory models of household income using data from the Panel Study of Income Dynamics (PSID), but the empirical approach is more generally applicable. Household income processes are of interest because the size of shocks, the nature of their persistence, and crosshousehold… CONTINUE READING