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...

This article develops tests of covariance restrictions after estimating by three-stage least squares a dynamic random effects model from panel data. The asymptotic distribution of covariance matrix estimates under nonnormality is obtained. It is shown how minimum chi-square tests for interesting...

This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments, and studies the practical performance of these procedures using both generated and real data. The authors' generalized method of moments estimator...

The authors develop an empirical model of labor supply that is consistent with on-the-job search and that is identified and estimated by combining two data sets: the U.K. Family Expenditure Survey, which contains information on income and expenditure, and the U.K. Labour Force Survey, which has...

This article develops new approximations to the distribution function of a general econometric estimator or test statistic from a linear model. The method relies heavily on the general arguments for the validity of Edgeworth approximations, and produces formulae of a similar type, except that,...

We study the identification of panel models with linear individual-specific coefficients when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between...

We study the identification of panel models with linear individual-specific coefficients when T is fixed. We show identification of the variance of the effects under conditional uncorrelatedness. Identification requires restricted dependence of errors, reflecting a trade-off between...