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Duration dependence and time varying variables in discrete time duration models

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  • Anna Cristina D'Addio

    (Aarhus School of Business)

  • Bo E. Honoré

    (Princeton University)

Abstract

This 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 Info

Paper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number D6-3.

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Date of creation: Mar 2002
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Handle: RePEc:cpd:pd2002:d6-3

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  1. Bo Honore & Ekaterini Kyriazidou & J. L. Powell, 2000. "Estimation of tobit-type models with individual specific effects," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 341-366.
  2. Olivier Jean Blanchard & Peter Diamond, 1990. "Ranking, Unemployment Duration, and Wages," NBER Working Papers 3387, National Bureau of Economic Research, Inc.
  3. 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.
  4. Hilary W. Hoynes & Kenneth Y. Chay & Dean Hyslop, 2004. "True State Dependence In Monthly Welfare Participation:A Nonexperimental Analysis," Working Papers 533, University of California, Davis, Department of Economics.
  5. Spence, A Michael, 1973. "Job Market Signaling," The Quarterly Journal of Economics, MIT Press, vol. 87(3), pages 355-74, August.
  6. Anna Christina D'Addio & Michael Rosholm, . "Left-Censoring in Duration Data: Theory and Applications," Economics Working Papers 2002-5, School of Economics and Management, University of Aarhus.
  7. Chintagunta, Pradeep & Kyriazidou, Ekaterini & Perktold, Josef, 2001. "Panel data analysis of household brand choices," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 111-153, July.
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Cited by:
  1. Paul Frijters & Maarten Lindeboom & Gerard van den Berg, 2000. "Persistencies in the Labour Market," School of Economics and Finance Discussion Papers and Working Papers Series 087a, School of Economics and Finance, Queensland University of Technology.
  2. Ulrich Kaiser & Hans Christian Kongsted, 2004. "True versus spurious state dependence in firm performance: the case of West German exports," CAM Working Papers 2004-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.

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