Semiparametric estimation of the canonical permanent‐transitory model of earnings dynamics
Semiparametric estimation of the canonical permanent‐transitory model of earnings dynamics
复制标题
盈利动态的规范永久瞬态模型的半参数估计
DOI：
10.3982/qe1117
复制
发表时间：
2019
影响因子：
1.8
通讯作者：
Yuya Sasaki
中科院分区：
文献类型：
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作者：
Yingyao Hu;R. Moffitt;Yuya Sasaki
给出了一种柔性状态空间模型的辨识和估计结果。我们对正则模型的修改允许永久分量遵循单位根过程，而瞬时分量遵循高阶自回归滑动平均(ARMA)过程的半参数模型。使用观察收益的面板数据，我们建立了每个永久性和暂时性成分随时间的非参数联合分布。我们使用收入动态小组调查(PSID)将识别和估计方法应用于美国男性的收入动态。结果表明，我国上市公司永久性和暂时性盈余成分的边际分布比正态分布更分散、更偏斜、尾部更厚实，收益流动性比正态分布要低得多。我们还发现了短期成分中存在高阶ARMA过程的有力证据，这导致了对永久成分的分布和收益流动性的估计有很大的不同，这意味着对临时收益过程的错误描述可能会影响永久成分的估计分布和估计的收益动态。因此，我们的灵活模型意味着美国男性的收入动态与之前的许多文献不同。
This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order autoregressive‐moving‐average (ARMA) process. Using panel data of observed earnings, we establish identification of the nonparametric joint distributions for each of the permanent and transitory components over time. We apply the identification and estimation method to the earnings dynamics of U.S. men using the Panel Survey of Income Dynamics (PSID). The results show that the marginal distributions of permanent and transitory earnings components are more dispersed, more skewed, and have fatter tails than the normal and that earnings mobility is much lower than for the normal. We also find strong evidence for the existence of higher‐order ARMA processes in the transitory component, which lead to much different estimates of the distributions of and earnings mobility in the permanent component, implying that misspecification of the process for transitory earnings can affect estimated distributions of the permanent component and estimated earnings dynamics of that component. Thus our flexible model implies earnings dynamics for U.S. men different from much of the prior literature.