Estimating Flexible Income Processes from Subjective Expectations Data: Evidence from India and Colombia / Manuel Arellano, Orazio Attanasio, Samuel Crossman, Víctor Sancibrián.

Format:

Book

Author/Creator:

Arellano, Manuel.

Contributor:

Attanasio, Orazio.

Crossman, Samuel.

Sancibrián, Víctor.

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w32922.

NBER working paper series no. w32922

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2024.

Summary:

We develop a methodology for modeling perceived household income processes when subjective probabilistic assessments of future income are available. This allows us to flexibly estimate conditional cdf s directly using elicited individual subjective probabilities, and to obtain empirical measurements of subjective risk and subjective persistence. We then use two longitudinal surveys collected in rural India and rural Colombia to explore the nature of perceived income dynamics in those contexts. Our results suggest linear income processes are rejected in favor of more flexible versions in both cases; subjective income distributions feature heteroskedasticity, conditional skewness and nonlinear persistence.

Notes:

September 2024.

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