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Discrete time duration models with group-level heterogeneity

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  • Frederiksen, Anders
  • Honore, Bo E.
  • Hu, Luojia

Abstract

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group specific effect in parametric and semiparametric versions of the model. The proposed method is illustrated by an empirical analysis of job durations allowing for firm level effects.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 1014-1043

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:1014-1043

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Lisa M. Lynch, 1992. "Differential Effects of Post-School Training on Early Career Mobility," NBER Working Papers 4034, National Bureau of Economic Research, Inc.
  2. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-82, July.
  3. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
  4. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-62, March.
  5. Songnian Chen, 2002. "Rank Estimation of Transformation Models," Econometrica, Econometric Society, vol. 70(4), pages 1683-1697, July.
  6. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  7. Frederiksen, Anders & Honore, Bo E. & Hu, Luojia, 2007. "Discrete time duration models with group-level heterogeneity," Journal of Econometrics, Elsevier, vol. 141(2), pages 1014-1043, December.
  8. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
  9. Light, Audrey & Ureta, Manuelita, 1992. "Panel Estimates of Male and Female Job Turnover Behavior: Can Female Nonquitters Be Identified?," Journal of Labor Economics, University of Chicago Press, vol. 10(2), pages 156-81, April.
  10. Alban Thomas, 2002. "Consistent estimation of discrete-choice models for panel data with multiplicative effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-2, International Conferences on Panel Data.
  11. Bo E. Honoré & Ekaterini Kyriazidou, 2000. "Panel Data Discrete Choice Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 68(4), pages 839-874, July.
  12. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
  13. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  14. Anders Frederiksen, 2004. "Explaining Individual Job Separations in a Segregated Labor Market," Working Papers 869, Princeton University, Department of Economics, Industrial Relations Section..
  15. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
  16. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
  17. Francine D. Blau & Larry M. Kahn, 1981. "Race and sex differences in quits by young workers," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 34(4), pages 563-577, July.
  18. Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
  19. James J. Heckman, 1981. "Heterogeneity and State Dependence," NBER Chapters, in: Studies in Labor Markets, pages 91-140 National Bureau of Economic Research, Inc.
  20. Royalty, Anne Beeson, 1998. "Job-to-Job and Job-to-Nonemployment Turnover by Gender and Education Level," Journal of Labor Economics, University of Chicago Press, vol. 16(2), pages 392-443, April.
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Citations

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Cited by:
  1. Raquel Carrasco & José Ignacio García Pérez, 2008. "Unemployment Duration among Immigrants and Natives: Unobserved Heterogeneity in a Multi-Spell Duration Model," Working Papers 08.13, Universidad Pablo de Olavide, Department of Economics.
  2. Raquel Carrasco & José Ignacio García Pérez, 2010. "Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models," Working Papers 10.11, Universidad Pablo de Olavide, Department of Economics.
  3. M. Picchio, 2011. "Lagged Duration Dependence in Mixed Proportional Hazard Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/747, Ghent University, Faculty of Economics and Business Administration.
  4. Thomas Cornelißen & Olaf Hübler, 2011. "Unobserved Individual and Firm Heterogeneity in Wage and Job‐Duration Functions: Evidence from German Linked Employer–Employee Data," German Economic Review, Verein für Socialpolitik, vol. 12(4), pages 469-489, November.
  5. Bo Honore & Aureo de Paula, 2008. "Interdependent Durations," PIER Working Paper Archive 08-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  6. Frederiksen, Anders & Halliday, Timothy J. & Koch, Alexander K., 2010. "What Do We Work For? An Anatomy of Pre- and Post-Tax Earnings Growth," IZA Discussion Papers 5298, Institute for the Study of Labor (IZA).
  7. Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
  8. Bernauer, Thomas & Kalbhenn, Anna & Koubi, Vally & Ruoff, Gabriele, 2008. "Globalization, Political Regimes and International Environmental Commitment," Proceedings of the German Development Economics Conference, Zurich 2008 1, Verein für Socialpolitik, Research Committee Development Economics.
  9. Basu, Deepankar & de Jong, Robert, 2009. "A note on binary choice duration models," Economics Letters, Elsevier, vol. 102(1), pages 17-18, January.
  10. Anders Frederiksen & Bo E. Honoré & Luojia Hu, 2006. "Discrete Time Duration Models with Group-level Heterogeneity," Discussion Papers 05-008, Stanford Institute for Economic Policy Research.
  11. Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.

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