I'm trying to replicate the paper of Blundell et al. (2008) to separate permanent and transitory shocks on income on a panel dataset. He solves the non-linear system of equations using Chamberlain's minimum distance estimator (it is shown in the appendix of the paper), but I haven't found a library, nor in R, nor in STATA, that does the trick. Can someone help me?
Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It's 100% free, no registration required.
Here's how it works:
- Anybody can ask a question
- Anybody can answer
- The best answers are voted up and rise to the top