Econ Papers Daily / 期刊论文
高频收入动态
High‐frequency income dynamics
摘要
We generalize the canonical permanent–transitory income process to allow for infrequent shocks. The distribution of income growth rates can then have a discrete mass point at zero and fat tails as observed in income data. We provide analytical formulas for the unconditional and conditional distributions of income growth rates and higher‐order moments. We prove a set of identification results and numerically validate that we can simultaneously identify the frequency, variance, and persistence of income shocks. We estimate the income process on monthly panel data of 400,000 Danish men observed over eight years. When allowing shocks to be infrequent, the proposed income process can closely match the central features of both monthly and annual income data.
中文摘要
我们将经典的持久性—暂时性收入过程加以推广，以允许不频繁冲击。收入增长率的分布因而可以在零处具有离散质点，并呈现收入数据中观察到的厚尾特征。我们给出了收入增长率的无条件分布与条件分布以及高阶矩的解析公式。我们证明了一组识别结果，并通过数值验证表明，我们可以同时识别收入冲击的频率、方差和持久性。我们利用在八年期间观测到的40万名丹麦男性的月度面板数据估计了该收入过程。当允许冲击不频繁时，所提出的收入过程能够很好地匹配月度与年度收入数据的核心特征。