Abstract
Before the methodology established in the previous chapter can be applied and a life cycle model of portfolio choice adapted to the Swiss context can be derived to study the fundamental research objectives of chapter 2, an important finding of chapter 3 must be recalled: there, a review of earlier life cycle models of portfolio choice revealed that the investor’s labor income dynamics play a crucial role in determining optimal portfolio choice over the life cycle. Variations in the labor income process can account for substantial differences in life cycle asset holdings. Thus, it would e.g. not be appropriate to employ the age-earnings profiles and earnings variances estimated by Cocco et al. (2005) from US data to calibrate a model of Swiss second pillar employees here.
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References
See Mincer (1974), p. 91, or Polachek/Siebert (1993), p. 74.
See e.g. Lemieux (forthcoming), p. 12 or Lillard/Willis (1978), p. 985.
See e.g. Polachek/ Siebert (1993), chapter 4.4 for extensions of the basic function.
Cited indirectly through Sousa-Poza/ Henneberger (1998).
Cited indirectly through Sousa-Poza/ Henneberger (1998).
It is a special case because the order of the MA process of our transitory component εit is zero as compared to the MA(2) process in Hall/ Mishkin (1982).
See e.g. Hayashi (1997), chapter 4.
In the absence of the normality assumption this estimator is still valid and can be viewed as a ‘Gaussian pseudo maximum likelihood estimator’. See Arellano (2003), pp. 71–72 for details.
See Arellano (2003), pp. 68–69.
See e.g. Hamilton (1994), p. 143.
See e.g. Lillard/ Weiss (1979).
Cocco et al. (2005), p. 528.
The fact that “bwu2” includes only allowances for children but not other public transfers (if applicable) might lead to a minimal upward bias in the risk faced by the investor. See Cocco et al. (2005), p. 528.
See Amemiya (1985), ch. 10 for this nomenclature.
See e.g. Schafer (1997), p. 148.
See Schafer (1997), p. 159.
See Schafer (1997), p. 160.
This example is taken from Little/ Rubin (1987), p. 112.
See Schafer (1997), p. 159.
See any basic text on mathematical statistics such as e.g. Mittelhammer (1996), pp. 207–210.
See Tanner/ Wong (1987), p. 530.
Schafer (1997), p. 109.
Schafer (1997), p. 109.
See Schafer (1997), p. 109.
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© 2008 Gabler | GWV Fachverlage GmbH, Wiesbaden
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(2008). Empirical analysis of Swiss labor income dynamics. In: Life Cycle Investing and Occupational Old-Age Provision in Switzerland. Gabler. https://doi.org/10.1007/978-3-8349-9818-7_5
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DOI: https://doi.org/10.1007/978-3-8349-9818-7_5
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