A Parsimonious Model of Idiosyncratic Income

• 成果类型: Article
• 署名作者: Crawley, Edmund; Holm, Martin B.; Tretvoll, Hakon
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Oslo; BI Norwegian Business School; Statistics Norway
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.70041
• 发表日期: 2026
• 关键词: LIFE-CYCLE EARNINGS; transitory variance; instability; consumption; INEQUALITY; DYNAMICS; TRENDS; RISK

摘要

The standard permanent and transitory income model is known to be misspecified. Estimates of income volatility within this model differ depending on the specific data moments used-whether they are in levels or differences-and how these moments are weighted during estimation. We suggest a simple modification to the standard model: allowing for two transitory shocks that persist for different lengths of time. Our proposed model, which introduces only one additional parameter, consistently and accurately identifies the parameters of the income process, regardless of the estimation method used .