Heterogeneous Income Profiles Model with Fixed Effects: Incorporating Labour Income Shocks*
提出一种估计异质性收入剖面模型的新计量方法，允许系数固定且与解释变量相关，基于PSID数据发现随机效应假设会导致偏误，且工作变动是收入冲击持续性的主要来源。
Abstract We provide an alternative econometrics methodology to estimate a standard heterogeneous income profiles (HIP) model. Our alternative setup allows for the HIP coefficients to be fixed in the sense that they can be arbitrarily correlated with the explanatory variables of the HIP equation and can be treated as parameters to be estimated. As an empirical application, we analyse the extent to which different sources of labour income shocks account for the persistence and variation of composite income shocks based on the HIP model. Our estimation results from the Panel Study of Income Dynamics (PSID) suggest that the random effect assumption of no correlation can lead to biases. We also find that job displacements account for the persistence of income shocks the most, especially for high school educated individuals.