Silvia Sarpietro, Yuya Sasaki, Yulong Wang
arXiv 15 Mar 2022 · Econometrics · 3 citations (OpenAlex)
arXiv:2203.08014 · PDF · DOI · OpenAlex · Extracted main text
The literature often employs moment-based earnings risk measures like variance, skewness, and kurtosis. However, under heavy-tailed distributions, these moments may not exist in the population. Our empirical analysis reveals that population kurtosis, skewness, and variance often do not exist for the conditional distribution of earnings growth. This challenges moment-based analyses. We propose robust conditional Pareto exponents as novel earnings risk measures, developing estimation and inference methods. Using the UK New Earnings Survey Panel Dataset (NESPD) and US Panel Study of Income Dynamics (PSID), we find: 1) Moments often fail to exist; 2) Earnings risk increases over the life cycle; 3) Job stayers face higher earnings risk; 4) These patterns persist during the 2007--2008 recession and the 2015--2016 positive growth period.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Guvenen, F., F. Karahan, S. Ozkan, and J. Song (2021) What do data on millions of US workers reveal about lifecycle earnings dynamics? | 0.974 | 13 | 4 | 92% |
| 2 | Bell, B. D., N. Bloom, and J. Blundell (2021) This time is not so different: income dynamics during the Covid-19 recession | 0.928 | 4 | 3 | 100% |
| 3 | Arellano, M., S. Bonhomme, M. De Vera, L. Hospido, and S. Wei (2021) Income risk inequality: evidence from Spanish administrative records, Working Paper | 0.874 | 8 | 2 | 100% |
| 4 | De Nardi, M., G. Fella, and G. Paz-Pardo (2021) Wage risk and government and spousal insurance, Tech | 0.874 | 5 | 2 | 100% |
| 5 | Guvenen, F., L. Pistaferri, and G. L. Violante (2022) Global trends in income inequality and income dynamics: New insights from GRID | 0.737 | 3 | 2 | 100% |
| 6 | Degiannakis, S., G. Filis, G. Siourounis, and L. Trapani (2022) Superkurtosis | 0.644 | 3 | 2 | 67% |
| 7 | Trapani, L (2016) Testing for (in) finite moments | 0.644 | 3 | 2 | 67% |
| 8 | Arellano, M., R. Blundell, and S. Bonhomme (2017) Earnings and consumption dynamics: a nonlinear panel data framework | 0.644 | 2 | 2 | 100% |
| 9 | Meghir, C. and L. Pistaferri (2004) Income variance dynamics and heterogeneity | 0.644 | 2 | 2 | 100% |
| 10 | Hill, B. M (1975) A simple general approach to inference about the tail of a distribution | 0.585 | 3 | 1 | 100% |
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