Modelling heterogeneity and dynamics in the volatility of individual wages
个体工资波动的异质性与动态建模
Abstract This paper presents a model for the heterogeneity and dynamics of the conditional mean and conditional variance of individual wages. A bias‐corrected likelihood approach, which reduces the estimation bias to a term of order 1/ T 2 , is used for estimation and inference. The small‐sample performance of the proposed estimator is investigated in a Monte Carlo study. The simulation results show that the bias of the maximum likelihood estimator is substantially corrected…