Meghir and Pistaferri (2004) Econometrica

[condor]

Meghir, C., and L. Pistaferri (2004), "Income variance dynamics and heterogeneity", Econometrica, 72, pp. 1-32.
http://www.stanford.edu/~pista/meghir.pdf

[TomDoan]

Have you tried getting the data into RATS and doing the basic model?

[condor]

I am still digesting the theory at moment, but working on the code in the meantime. Unfortunately I do not believe I can make much progress. Authors seem to have preferred bootstraps for the estimation of standard errors. Although they have used three different tools (Gauss, Stata and DPD), I think it is possible to integrate all these estimations under a single framework in RATS. I shared this just because the topic is becoming an important issue these days and this paper is one of the pioneering works that lays out an innovative estimation approach.