Duration Dependence and Timevarying Variables in Discrete Time Duration Models
AbstractThis paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in practice. The method is used to test for duration dependence in labour market spells for French youth. The novelty in the application is that we are able to control for time-varying explanatory variables. In a discrete time duration model, duration dependence will result in second order state dependence, and the paper therefore also adds to the literature on estimation of duration models with unobserved heterogeneity.
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Bibliographic InfoPaper provided by School of Economics and Management, University of Aarhus in its series Economics Working Papers with number 2002-13.
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Panel data; Dynamic Discrete Choice; Unemployment; Duration Dependence;
Other versions of this item:
- Anna Cristina D'Addio & Bo E. Honoré, 2002. "Duration dependence and time varying variables in discrete time duration models," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D6-3, International Conferences on Panel Data.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment: Models, Duration, Incidence, and Job Search
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-DCM-2004-03-28 (Discrete Choice Models)
- NEP-ECM-2004-03-28 (Econometrics)
- NEP-RMG-2004-03-28 (Risk Management)
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