Minimum distance estimator

Question

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?

Google Scholar finds 229 papers authored in 2008 by a Blundell. Could you give us a bit more of a clue to which one you are referring, or maybe a URI? — onestop, Apr 12 '11 at 12:27
I would guess it was Blundell, R., Pistaferri, L. and Preston, I. (2008). "Consumption inequality and partial insurance", American Economic Review, 98(5), pp. 1887-1921., though there are more possibilities here — Henry, Apr 12 '11 at 19:45

score -1 · Answer 1 · edited Nov 07 '12 at 21:47

-1

Check the actuar package or the fitdistrplus package vignettes.

edited Nov 07 '12 at 21:47

gung - Reinstate Monica

145,122

answered Nov 07 '12 at 21:22

Giorgio Spedicato

3,692

Minimum distance estimator

1 Answers1