Predictive Distributions Based on Longitudinal Earnings Data

Chamberlain,; Hirano,

doi:10.2307/20076197

Cited by 75 publications

(52 citation statements)

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“…For this reason we propose to call them the gradient-factor (or G-factor) 25 Carroll (1997) and Gourinchas and Parker (2002) also model n(t) as a random walk. This is consistent with the empirical evidence of Hubbard et al (1995) and Chamberlain and Hirano (1999) who estimate a first-order autocorrelation process and find an autocorrelation coefficient close to unity. 26 Campbell et al (2001).…”

supporting

confidence: 91%

The Impact of Occupation and Gender on Pensions from Defined Contribution Plans

Blake¹,

Cairns

Dowd

2007

Geneva Pap Risk Insur Issues Pract

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We present simulation results for the likely pension outcomes for different definedcontribution (DC) pension plan members distinguished by occupation and gender. While our results suggest that key differences between outcomes depend on the strategic asset allocation strategy chosen (and hence on the rate of return on assets in relation to the growth rate in salaries), we also find that DC plans benefit most those workers who have the highest career average salary relative to final salary or whose salary peaks earliest in their careers. Thus low-skilled workers and women do relatively well from DC plans: the largest median pension difference between occupations is 34 per cent (for men) and 38 per cent (for women), while the largest median pension difference between women and men in the same occupation is 45 per cent (for the same contribution rate). We conclude that key aspects of plan design (in particular contribution rates) should be occupation-and gender-specific.

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supporting

confidence: 91%

The Impact of Occupation and Gender on Pensions from Defined Contribution Plans

Blake¹,

Cairns

Dowd

2007

Geneva Pap Risk Insur Issues Pract

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show abstract

“…Recent economic applications include Albert and Chib 1993, Lancaster 1995, Geweke and Keane 1997, and Chamberlain and Hirano 1997. The speci cs for the algorithm used here are discussed in Appendix B.…”

Section: The Modelmentioning

confidence: 99%

Combining Panel Data Sets with Attrition and Refreshment Samples

et al. 2001

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With panel data important issues can be resolved that can not be addressed with cross sectional data. A major drawback is that panel data su er from more severe missing data problems. Adding a sample consisting of new units randomly drawn from the original population as replacements for units who have dropped out of the panel, a so called refreshment sample, can be helpful in mitigating the e ects of attrition, both by allowing for estimation of richer models and by making estimation of conventional models more precise. In this paper we develop a family of models that incorporate refreshment samples, and we demonstrate in an application to a Dutch data set on travel behaviour that such models can lead to substantially di erent results than models that assume that the missing data process is ignorable or conventional econometric models for panel data with attrition.

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“…Moreover, this should improve the power of the overidentifying restrictions test. 19 Table 6 reports the WG-GMM results for the coefficients in the conditional variance, as well as a number of diagnostic tests. We report bootstrap standard errors based on 1000 replications as well as the level of significance of the ARCH coefficients based on the bootstrap critical values.…”

Section: The Conditional Variance Of the Earnings Shockmentioning

confidence: 99%

Income variance dynamics and heterogenity

Meghir¹,

Pistaferri²

2001

Working Paper Series

111

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Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance. In this paper the assumption of i.i.d. income innovations used in previous empirical studies is removed and the focus of the analysis placed on models for the conditional variance of income shocks, which is related to the measure of risk emphasized by the theory. We first discriminate amongst various models of earnings determination that separate income shocks into idiosyncratic transitory and permanent components. We allow for education-and time-specific differences in the stochastic process for earnings and for measurement error. The conditional variance of the income shocks is modelled as a parsimonious ARCH process with both observable and unobserved heterogeneity. The empirical analysis is conducted on data drawn from the 1967-1992 Panel Study of Income Dynamics. We find strong evidence of sizeable ARCH effects as well as evidence of unobserved heterogeneity in the variances.

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Predictive Distributions Based on Longitudinal Earnings Data

Cited by 75 publications

References 0 publications

The Impact of Occupation and Gender on Pensions from Defined Contribution Plans

The Impact of Occupation and Gender on Pensions from Defined Contribution Plans

Combining Panel Data Sets with Attrition and Refreshment Samples

Income variance dynamics and heterogenity

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