본문 내용으로 건더뛰기

모바일 대메뉴명

KDI 경제정보센터

KDI 경제정보센터의 다양한
경제정책정보를 만나 보세요.

최신자료

A Parsimonious Model of Idiosyncratic Income
FRB 2022.05.20 원문보기
The standard model of permanent and transitory income is known to be misspecified. Estimates of income volatility in the model differ depending on the type of data moments used―levels or differences―and how these moments are weighted in the estimation. We propose two changes to the standard model. First, we account for the time-aggregated nature of observed income data. Second, we allow transitory shocks to persist for varying lengths of time. With only one additional parameter, our proposed model consistently recover the parameters of the income process irrespective of the estimation method. To the extent that researchers employ the standard model, we advise special caution with the use of first-difference moments.
KDI 경제정보센터