Job durations with worker and firm specific effects: MCMC estimation with longitudinal employer-employee data
AbstractWe study job durations using a multivariate hazard model allowing for workerspecific and firm-specific unobserved determinants. The latter are captured by unobserved heterogeneity terms or random effects, one at the firm level and another at the worker level. This enables us to decompose the variation in job durations into the relative contribution of the worker and the firm. We also allow the unobserved terms to be correlated. For the empirical analysis we use a Portuguese longitudinal matched employer-employee data set. The model is estimated with a Bayesian Markov Chain Monte Carlo (MCMC) estimation method. The results imply that firm characteristics explain around 30% of the variation in log job durations. In addition, we find a positive correlation between unobserved worker and firm characteristics.
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Bibliographic InfoPaper provided by IFAU - Institute for Evaluation of Labour Market and Education Policy in its series Working Paper Series with number 2009:4.
Length: 28 pages
Date of creation: 02 Feb 2009
Date of revision:
Publication status: Published as Horny, Guillaume, Rute Mendes and Gerard J van den Berg, 'Job durations with worker and firm specific effects: MCMC estimation with longitudinal employer-employee data' in Journal of Business and Economic Statistics, 2012, pages 468-480.
Job transitions; assortative matching; Gibbs sampling; frailties; dynamic models; matched employer-employee data;
Other versions of this item:
- Guillaume Horny & Rute Mendes & Gerard J. van den Berg, 2012. "Job Durations With Worker- and Firm-Specific Effects: MCMC Estimation With Longitudinal Employer--Employee Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 30(3), pages 468-480, March.
- Horny, Guillaume & Mendes, Rute & van den Berg, Gerard J., 2009. "Job Durations with Worker and Firm Specific Effects: MCMC Estimation with Longitudinal Employer-Employee Data," IZA Discussion Papers 3992, Institute for the Study of Labor (IZA).
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- J20 - Labor and Demographic Economics - - Demand and Supply of Labor - - - General
- J41 - Labor and Demographic Economics - - Particular Labor Markets - - - Labor Contracts
- J62 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Job, Occupational and Intergenerational Mobility; Promotion
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