Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...

In this paper we construct a kernel estimator of a periodic signal when the observation follows the model dζt=f(t)dt+σ(t)dWt, where f,σ:R→R are continuous periodic and {Wt,t≥0} is a Brownian motion. We state its consistency as well as the asymptotic normality.