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st: Error component models
Dear statalisters,
I want to run an error component model for earnings in the framework
of Ramos (2003), Cappellari (2004), Dickens (2000). These models
extend the typical random effects model
y_it = m_i + e_it
by applying several specifications to the individual effects m_i
(random walk, random growth) and to the error term e_it (AR(1) or ARMA
models). An example is the following model of Ramos (2003):
y_icat = g_c * a_t [m_i + h_i * a_it + u_iat] + z_c * v_it
where
u_iat = u_i(a-1)(t-1) + p_iat
v_it = r * v_it + l_t * e_it
and i stands for the individual, c for cohort, a for age, t for time.
g_c and a_t are shifters for cohort and time respectively.
These models are estimated with the use of minimum distance
estimation. Estimation of some these models is possible in SAS. Does
anyone know how to estimate them in STATA? Is there any module for
them? I have found references to an old module from L. Cappellari
(mindist) that was presented in one Stata meeting but it does not
appear anywhere. Moreover, from what I understand it does not cover
all the usual specifications that are used in the literature.
I would very much appreciate your help.
Best regards,
Dimitris
References:
Cappellari, L. (2004). The dynamics and inequality of Italian men?s
earnings. long-term changes or transitory fluctuations. Journal of
Human Resources, 39 (2), 475-499.
Dickens, R. (2000b). The evolution of individual male earnings in
Great Britain: 1975-95. Economic Journal, 110, 27-49.
Ramos, X. (2003). The covariance structure of earnings in Great
Britain, 1991-1999. Economica, 70, 353-374.
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