are correlated. However, because correlation may occur across more than one dimension, this motivation makes it difficult …. In this paper, we argue that clustering is in essence a design problem, either a sampling design or an experimental … design issue. It is a sampling design issue if sampling follows a two stage process where in the first stage, a subset of …

We examine the small sample properties of the GMM estimator for models of covariance structures, where the technique is … simulated data and on the data used by Abowd and Card (1987, 1990) in an examination of the covariance structure of hours and … sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD …

We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent …, compensation and capital is dominated by the part due to initial heterogeneity and random growth rates. Serial correlation in the …

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as …

instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the … instrument and the error term has the same sign as the correlation between the endogenous regressor and the error term, and (ii …

data from three panel surveys,we catalogue the main features of the covariance structure of changes in earnings and hours …-wage labor contract model. Our major findings are:(1) there is a remarkable similarity in the covariance structure of earnings … and hours changes across the three surveys; and (2) apart from simple measurement error, the major component of variance …

particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the … discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations … the randomness of the sampling has a larger impact than the discreteness of the data …