论文标题
不存在收益增长的时刻
Non-Existent Moments of Earnings Growth
论文作者
论文摘要
文献通常采用基于力矩的收入风险措施，例如方差，偏度和峰度。但是，在重型分布下，这些时刻可能不存在。我们的经验分析表明，人口峰度，偏度和差异通常不存在于收益增长的条件分布。这挑战了基于力矩的分析。我们建议有条件的帕累托指数作为新的收入风险度量，开发估计和推理方法。使用英国新收入调查小组数据集（NESPD）和美国收入动态研究（PSID）研究，我们发现：1）瞬间通常不存在； 2）在整个生命周期中，收入风险增加； 3）工作人员面临更高的收入风险； 4）这些模式在2007--2008经济衰退和2015--2016积极增长期内持续存在。
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.
