Supplementary data for: Nonlinear Persistence and Partial Insurance: Income and Consumption Dynamics in the PSID

In this paper we highlight the importance of the PSID in understanding income dynamics and consumption insurance. We explore the nonlinear nature of income shocks and describe a new quantile-based panel data framework for income dynamics. In this approach the persistence of past income shocks is allowed to vary according to the size and sign of the current shock. The model provides a good match with data and we confirm the results on population register data from Norway. Using the enhanced consumption and asset data in the PSID, nonlinear persistence is shown to have key implications for consumption insurance.<br>

本文着重阐明了收入动态面板研究（PSID）在理解收入动态与消费保险方面的重要价值。<br>我们探究了收入冲击的非线性特性，并提出了一种全新的基于分位数的收入动态面板数据分析框架。<br>在该框架中，过往收入冲击的持续性可根据当期冲击的规模与正负符号发生动态调整。<br>该模型与实际数据拟合效果良好，且我们利用挪威的人口登记数据验证了上述研究结论。<br>借助收入动态面板研究中增强的消费与资产数据，本文证实非线性持续性对消费保险具有关键影响。