Browning, Martin; Ejrnæs, Mette; Alvarez, Javier - In: Review of Economic Studies 77 (2010) 4, pp. 1353-1381
We model earnings processes allowing for lots of heterogeneity across agents. We also introduce an extension to the linear ARMA model which allows the initial convergence in the long run to be different from that implied by the conventional ARMA model. This is particularly important for unit...