We examine the association of income variability both within and across generations based on a heterogeneous growth model of permanent and transitory income in Sweden. Non-parametric regressions reveal that income variability is strongly associated with long-run levels of income, especially for lowand highincome earners, and that it is also strongly associated across generations. JEL Classifica...

The relation between a firm’s stock return and its intangible investment ratio and asset tangibility is derived under the intangible-asset-augemnted (IAA) q-theory framework. Using firm level data and the Generalized Method of Moments (GMM), we estimate the model and three main results emerge. First, the IAA q-theory captures the value premium and the relation between R&D intensity and stock re...

A dynamic microsimulation model of cohort earnings based on the Australian population aged between 20 and 55 years is described. A highly parsimonious modular structure is adopted to facilitate sensitivity analysis and enable additional characteristics to be added, should they be desired. Despite the restrictive specifications used, the model closely reflects the data used for calibration. JEL ...

We present estimators for panel data sample selection and switching models where the regression equations are dynamic and it is allowed for the existence of endogenous regressors and correlated individual unobserved heterogeneity. We consider two types of switching models under the names of observed dynamics switching and latent dynamics switching. The dynamic sample selection model implicitly ...

This paper presents a consistent Generalized Method of Moments (GMM) residuals-based test of functional form for time series models. By relating two moments we deliver a vector moment condition in which at least one element must be nonzero if the model is misspecified. The test will never fail to detect misspecification of any form for large samples, and is asymptotically chi-squared under the ...

This paper considers the second-order properties of empirical likelihood (EL) for a parameter defined by moment restrictions, which is the inferential framework of the generalized method of moments. It is shown that the EL defined for this general framework still admits the delicate secondorder property of Bartlett correction. This represents a substantial extension of all the established cases...

This paper assesses the finite sample refinements of the block bootstrap and the Non-Parametric Bootstrap for conditional moment models. The study recononsiders inference in the generalized method of moments estimation of the consumption asset pricing model of Singleton (1986). These dependent bootstrap resampling schemes are proposed as an alternative to the asymptotic approximation in small s...