Disentangling Age, Cohort and Time Effects in the Additive Model*

Oxford Bulletin of Economics and Statistics - Tập 68 Số 4 - Trang 473-495 - 2006
David McKenzie1
1Development Research Group, The World Bank, 1818 H Street N.W., Washington, DC 20433, USA (e-mail: [email protected])

Tóm tắt

AbstractThis paper presents a new approach to the old problem of linear dependency of age, cohort and time effects. It is shown that second differences of the effects can be estimated without any normalization restrictions, providing information on the shape of the age‐, cohort‐ and time‐effect profiles, and enabling identification of structural breaks. A Wald test is provided to test the popular linear and quadratic specifications against a very general alternative. The method is illustrated through examples which show its ability to detect structural breaks in time effects as a result of the Mexican peso crisis, and to determine whether the age‐effect profile in the variance of Taiwanese log consumption is concave or convex.

Từ khóa


Tài liệu tham khảo

10.3386/w4454

10.2307/146334

10.1016/0304-4076(85)90134-4

10.1596/0-8018-5254-4

10.1086/261941

10.2307/1392400

10.1080/0032472031000144606

10.1007/978-1-4613-8536-3_5

10.1162/003465301750159993

10.1111/j.1475-4991.1999.tb00312.x

10.1007/978-1-4613-8536-3

McKenzie D., 2002, Disentangling Age, Cohort, and Time Effects in the Additive Model

10.1016/S0305-750X(03)00064-0

10.1016/S0304-4076(03)00213-6

Thông tin
Thông tin xuất bản

Oxford Bulletin of Economics and Statistics

Tập 68 Số 4

473-495

Thông tin tác giả