Data for "Heterogeneous Earnings Risk in Incomplete Markets."

This document describes all the data used in my second project, "Heterogeneous Earnings Risk in Incomplete Markets", (Janssens 2021). The relevant data series and codes, as well as the data cleaning steps and transformations are described in this document, such that all steps can be replicated. In particular, the project uses data from the SIPP (Survey of Income and Program Participation), wave year 2014 to estimate a novel type of earnings process as described in the paper.