Hyungsik Roger Moon, Frank Schorfheide, Boyuan Zhang
arXiv 20 Oct 2023 · Econometrics
arXiv:2310.13785 · PDF · DOI · OpenAlex · Extracted main text
We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity and full heterogeneity, our specification can also capture sparse heterogeneity, that is, there is a core group of units that share common parameters and a set of deviators with idiosyncratic parameters. We fit a model with unobserved components to income data from the Panel Study of Income Dynamics. We find evidence for sparse heterogeneity for balanced panels composed of individuals with long employment histories.
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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 | Liu (2023) Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective | 0.843 | 3 | 3 | 100% |
| 2 | Browning and Ejrnjes (2013) Heterogeneity in the Dynamics of Labor Earning | 0.811 | 4 | 2 | 100% |
| 3 | Gu and Koenker (2017) Unobserved Heterogeneity in Income Dynamics: An Empirical Bayes Perspective | 0.811 | 4 | 2 | 100% |
| 4 | Guvenen (2007) Learning Your Earning: Are Labor Income Shocks Really Very Persistent? | 0.811 | 4 | 2 | 100% |
| 5 | Guvenen (2009) An Empirical Investigation of Labor Income Processes | 0.811 | 4 | 2 | 100% |
| 6 | Geweke (1996) Variable Selection and Model Comparison in Regression | 0.737 | 3 | 2 | 100% |
| 7 | Giannone, Lenza, and Primiceri (2021) Economic Predictions with Big Data: The Illusion of Sparsity | 0.737 | 3 | 2 | 100% |
| 8 | Haider (2001) Earnings Instability and Earnings Inequality of Males in the United States: 1967 - 1991 | 0.737 | 3 | 2 | 100% |
| 9 | Hoffmann (2019) HIP, RIP, and the Robustness of Empirical Earnings Processes | 0.737 | 3 | 2 | 100% |
| 10 | Hryshko (2012) Labor Income Profiles are Not Heterogeneous: Evidence from Income Growth Rates | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 33 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Empirical Bayes Estimation in Heterogeneous Coefficient Panel Models | 0.405 | 1 | 1 |