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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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  1. 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.
  2. 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.
  3. 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.
  4. Bruce D. Meyer, 1988. "Unemployment Insurance And Unemployment Spells," NBER Working Papers 2546, National Bureau of Economic Research, Inc.
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  7. Lisa M. Lynch, 1992. "Differential Effects of Post-School Training on Early Career Mobility," NBER Working Papers 4034, National Bureau of Economic Research, Inc.
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  10. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  11. 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.
  12. Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
  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. 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.
  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. 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.
  17. 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.
  18. 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.
  19. 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.
  20. James J. Heckman, 1981. "Heterogeneity and State Dependence," NBER Chapters, in: Studies in Labor Markets, pages 91-140 National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. 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.
  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. Picchio, Matteo, 2011. "Lagged Duration Dependence in Mixed Proportional Hazard Models," IZA Discussion Papers 6089, Institute for the Study of Labor (IZA).
  4. 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.
  5. Hirsch, Boris & Schnabel, Claus, 2010. "Women move differently: Job separations and gender," IWQW Discussion Paper Series 06/2010, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
  6. Bo E. Honor & �ureo De Paula, 2010. "Interdependent Durations," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 1138-1163.
  7. 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).
  8. 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.
  9. 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.
  10. Hausman, Jerry A. & Woutersen, Tiemen, 2014. "Estimating a semi-parametric duration model without specifying heterogeneity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 114-131.
  11. 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.
  12. Raquel Carrasco & J. Ignacio García Pérez, 2008. "Unemployment duration among immigrants and natives: unobserved heterogeneity in a multi-spell duration model," Economics Working Papers we086933, Universidad Carlos III, Departamento de Economía.
  13. Basu, Deepankar & de Jong, Robert, 2009. "A note on binary choice duration models," Economics Letters, Elsevier, vol. 102(1), pages 17-18, January.

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