Income Variance Dynamics and Heterogeneity

摘要: Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models both general and partial equilibrium under imperfect insurance. In this Paper assumption i.i.d. income innovations used in previous empirical studies is removed focus analysis placed on conditional variance shocks, which related to measure risk emphasized by theory. We first discriminate amongst various earnings determination that separate shocks into idiosyncratic transitory permanent components. allow education- time-specific differences stochastic process measurement error. The modelled as a parsimonious ARCH with observable unobserved heterogeneity. conducted data drawn from 1967-92 Panel Study Income Dynamics. find strong evidence sizeable effects well heterogeneity variances.