Identifying heterogeneous income profiles using covariances of income levels and future growth rates

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Identifying heterogeneous income profiles using covariances of income levels and future growth rates. / Druedahl, Jeppe; Munk-Nielsen, Anders.

I: Journal of Economic Dynamics and Control, Bind 94, 09.2018, s. 24-42.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Druedahl, J & Munk-Nielsen, A 2018, 'Identifying heterogeneous income profiles using covariances of income levels and future growth rates', Journal of Economic Dynamics and Control, bind 94, s. 24-42. https://doi.org/10.1016/j.jedc.2018.07.003

APA

Druedahl, J., & Munk-Nielsen, A. (2018). Identifying heterogeneous income profiles using covariances of income levels and future growth rates. Journal of Economic Dynamics and Control, 94, 24-42. https://doi.org/10.1016/j.jedc.2018.07.003

Vancouver

Druedahl J, Munk-Nielsen A. Identifying heterogeneous income profiles using covariances of income levels and future growth rates. Journal of Economic Dynamics and Control. 2018 sep.;94:24-42. https://doi.org/10.1016/j.jedc.2018.07.003

Author

Druedahl, Jeppe ; Munk-Nielsen, Anders. / Identifying heterogeneous income profiles using covariances of income levels and future growth rates. I: Journal of Economic Dynamics and Control. 2018 ; Bind 94. s. 24-42.

Bibtex

@article{b830eaea82b840e5b4e1302d4b30a8fb,
title = "Identifying heterogeneous income profiles using covariances of income levels and future growth rates",
abstract = "This paper shows that a central implication of heterogeneous income profiles (HIP) is that the covariance between the level of income and future income growth rates must become strongly positive from about age 40. Covariances of income levels and future growth rates therefore have strong identifying power for HIP. We show that adding such moments to an estimation can reverse seemingly strong evidence of HIP. We show this both in a small sample Monte Carlo study and using PSID data. Our results are robust to including a fixed effect correlated with the HIP component.",
keywords = "Faculty of Social Sciences, Income risk, Heterogeneity, Consumption-savings",
author = "Jeppe Druedahl and Anders Munk-Nielsen",
year = "2018",
month = sep,
doi = "10.1016/j.jedc.2018.07.003",
language = "English",
volume = "94",
pages = "24--42",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Identifying heterogeneous income profiles using covariances of income levels and future growth rates

AU - Druedahl, Jeppe

AU - Munk-Nielsen, Anders

PY - 2018/9

Y1 - 2018/9

N2 - This paper shows that a central implication of heterogeneous income profiles (HIP) is that the covariance between the level of income and future income growth rates must become strongly positive from about age 40. Covariances of income levels and future growth rates therefore have strong identifying power for HIP. We show that adding such moments to an estimation can reverse seemingly strong evidence of HIP. We show this both in a small sample Monte Carlo study and using PSID data. Our results are robust to including a fixed effect correlated with the HIP component.

AB - This paper shows that a central implication of heterogeneous income profiles (HIP) is that the covariance between the level of income and future income growth rates must become strongly positive from about age 40. Covariances of income levels and future growth rates therefore have strong identifying power for HIP. We show that adding such moments to an estimation can reverse seemingly strong evidence of HIP. We show this both in a small sample Monte Carlo study and using PSID data. Our results are robust to including a fixed effect correlated with the HIP component.

KW - Faculty of Social Sciences

KW - Income risk

KW - Heterogeneity

KW - Consumption-savings

U2 - 10.1016/j.jedc.2018.07.003

DO - 10.1016/j.jedc.2018.07.003

M3 - Journal article

VL - 94

SP - 24

EP - 42

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

ER -

ID: 210158329