I develop a very flexible error-component model of family earnings dynamics to examine recent Canadian trends in the variance of family earnings and its components using the ‘permanent-transitory’ analytical framework. In contrast to most studies of family earnings inequality, the main focus...

The constraint that a covariance matrix must be positive definite presents difficulties for modeling its structure. Pourahmadi (1999, 2000) [18,19] proposed a parameterization of the covariance matrix for univariate longitudinal data in which the parameters are unconstrained, which is based on...

Considering the covariance selection problem of multivariate normal distributions, we show that its Fenchel dual formulation is insightful and allows one to calculate direct estimates under decomposable models. We next generalize the covariance selection to multivariate dependence, which...

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...

Using data from the German Socio-Economic Panel (GSOEP), this paper analyzes the dynamics of equivalent income in Germany in the eighties and nineties. Special emphasis is given to the separation of permanent and transitory components, the persistence of transitory shocks and their implications...

Using data from the German Socio-Economic Panel (GSOEP), this paper analyzes the dynamics of equivalent income in Germany in the eighties and nineties. Special emphasis is given to the separation of permanent and transitory components, the persistence of transitory shocks and their implications...