Replication codes for: "Heterogeneity of Consumption Responses to Income Shocks in the Presence of Nonlinear Persistence", by Arellano, Blundell, Bonhomme, Light

If you have any questions please e-mail: [email protected]

There are three sets of replication codes:

• Stata:

  • STATA codes to replicate the PSID sample:
    • 1_Master.do: runs everything
    • 2_Houehold_Panel.do: constructs the household panel
    • 3_Individual_Panel.do: constructs the household heads
    • 3b_Individual_Panel_Parent_Link.do: gets parental linkages
    • 4_Sample_Selection.do: does the main sample selection
    • 5_Aggregate_Measures.do: creates aggregates
    • 5b_Aggregate_Measures_Parent.do: creates aggregates for parents
    • 6_Get_Residuals_JOE_vF.do: generates the main samples

• Inc:

  • Codes for labor and disposable income, codes to replicate the main figures
    • To generate the main income results you should use SMC_l_vF.m (labor income) or SMC_n_vF.m (disposable income)
    • The code will call the various other scripts

• Cons:

  • Quantile Model: codes to estimate baseline model, model with asset rule, model with no heterogeneity, model with heterogeneity and no latent income components
    • PMCMC_simple_cons_vF.m: this estimates the baseline model
    • PMCMC_assets_cons_vF.m: this estimates the baseline model with assets
    • PMCMC_y_cons_vF.m: this estimates the model with heterogeneity and no filtering
    • SMC_simple_cons_vF.m: this estimates the model with filtering and no heterogeneity
    • The codes will call the various other scripts
  • Plot Results: codes to replicate the main figures
    • Figures_baseline_vF.m: replicates the figures for the baseline model
    • Figures_assets_vF.m: replicates the figures for the model with assets
    • Figures_irf_baseline_vF.m: replicates the figures for the baseline model IRFs
    • Figures_smc_vF.m: replicates the figures for the model without heterogeneity
    • Figures_y_vF.m: replicates the figures for the model with heterogeneity and no filtering