This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

This paper presents a comparative overview of mobility patterns in 14 Latin American countries between 1992 and 2003. Using three alternative econometric techniques on constructed pseudo-panels, the paper provides a set of estimators for the traditional notion of income mobility as well as for...

We study the causal relation between private wealth and retirement age. We propose two estimation strategies based on expected retirement age. The outcome variable is observed repeatedly over time. We correct first for the unobserved heterogeneity in the disutility of work by using panel data...

We develop and estimate a panel data model explaining the answers to questions about subjective probabilities, using data from the US Health and Retirement Study. We explicitly account for nonresponse, rounding, and focal point 50 percent answers. Our results indicate that for three of the four...

This paper provides a self-contained introduction to the British Household Panel Survey (BHPS), concentrating on aspects relevant to analysis of the distribution of household income. I discuss BHPS design features and how data on net household income are derived. The BHPS net household income...

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and spatial error components. We study the general case where spatial effects are incorporated via spatial errors terms and via a spatial lag dependent variable and where the...

Taking advantage of the panel structure of the data, the impact of intermarriage on labor market productivity as measured by earnings is examined. Contrarily to previous studies which rely on instrumental variable techniques, selection issues are addressed within a fixed effects framework. The...

We examine differences in the value of statistical life (VSL) across potential wage levels in panel data using quantile regressions with intercept heterogeneity. Latent heterogeneity is econometrically important and affects the estimated VSL. Our findings indicate that a reasonable average cost...

This paper studies how decentralization of wage bargaining from sector to firm-level influences wage levels and wage dispersion. We use detailed panel data covering a period of decentralization in the Danish labor market. The decentralization process provides variation in the individual worker's...