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Conducting Inference in Semiparametric Duration Models under Inequality Restrictions on the Shape of the Hazard Implied by Job Search Theory

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Author Info
Romeo, Charles J
Abstract

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These tests provide another link between the empirical and theoretical literatures on unemployment duration and job search. The GHK probability simulator makes it straightforward to generate approximate hypothesis test results, as simulation estimates of the probability under the null hypothesis are generated using the asymptotic normal approximation to the distribution of the hazard parameters obtained from maximum likelihood estimation. Importance sampling is used to conduct inference under the null and obtain exact finite sample estimates of the probability the null is satisfied. A new algorithm for maintaining stability of the importance weights is also developed.

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File URL: http://qed.econ.queensu.ca:80/jae/1999-v14.6/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 14 (1999)
Issue (Month): 6 (Nov.-Dec.)
Pages: 587-605
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Handle: RePEc:jae:japmet:v:14:y:1999:i:6:p:587-605

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  1. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November. [Downloadable!] (restricted)
  2. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-82, July. [Downloadable!] (restricted)
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  3. Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S153-73, Suppl. De. [Downloadable!] (restricted)
  4. Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-41, April. [Downloadable!] (restricted)
  5. Burdett, Kenneth & Vishwanath, Tara, 1988. "Declining Reservation Wages and Learning," Review of Economic Studies, Blackwell Publishing, vol. 55(4), pages 655-65, October. [Downloadable!] (restricted)
  6. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Oxford University Press, vol. 14(3), pages 347-68, September.
  7. Barnett, William A. & Geweke, John & Wolfe, Michael, 1991. "Seminonparametric Bayesian estimation of the asymptotically ideal production model," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 5-50. [Downloadable!] (restricted)
  8. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January. [Downloadable!] (restricted)
  9. Lynch, Lisa M, 1989. "The Youth Labor Market in the Eighties: Determinants of Re-employment Probabilities for Young Men and Women," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 37-45, February. [Downloadable!] (restricted)
  10. Torelli, Nicola & Trivellato, Ugo, 1993. "Modelling inaccuracies in job-search duration data," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 187-211, September. [Downloadable!] (restricted)
  11. McCall, Brian P, 1994. "The Effect of Job Heterogeneity on Reservation Wages," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 773-91, August. [Downloadable!] (restricted)
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  12. Dale Mortensen, 1984. "Job Search and Labor Market Analysis," Discussion Papers 594, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  13. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July. [Downloadable!] (restricted)
  14. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August. [Downloadable!] (restricted)
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