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Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models

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  • Raquel Carrasco

    ()
    (Department of Economics, Universidad Carlos III de Madrid)

  • José Ignacio García Pérez

    ()
    (Department of Economics, Universidad Pablo de Olavide)

Abstract

This paper considers the estimation of discrete time duration models. We highlight the enhance identification opportunities embedded in multiple spell data to separately identify the effect of duration dependence and individual time invariant unobserved heterogeneity. We consider two types of models: (i) random effects models specifying a mass point distribution for the unobserved heterogeneity; and (ii) fixed effects models in which the distribution of the effects is left unrestricted. The availability of multiple spell data allows us to consider this type of models, in the spirit of fixed effects discrete choice panel data models. We study the finite sample properties of different estimators for previous models by means of Monte Carlo simulations. Finally, as an empirical illustration, we estimate unemployment duration models using Spanish administrative data with information on the entire labor history of the individuals.

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Bibliographic Info

Paper provided by Universidad Pablo de Olavide, Department of Economics in its series Working Papers with number 10.11.

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Length: 34 pages
Date of creation: Nov 2010
Date of revision:
Handle: RePEc:pab:wpaper:10.11

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Keywords: Duration models; Discrete choice; Multiple spells; Unobserved heterogeneity; Unemployment.;

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  1. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
  2. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The Nonparametric Identification of Treatment Effects in Duration Models," Econometrica, Econometric Society, vol. 71(5), pages 1491-1517, 09.
  3. Jenkins, Stephen P, 1995. "Easy Estimation Methods for Discrete-Time Duration Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(1), pages 129-38, February.
  4. Abbring, Jaap H & van den Berg, Gerard J, 2007. "The Unobserved Heterogeneity Distribution in Duration Analysis," CEPR Discussion Papers 6219, C.E.P.R. Discussion Papers.
  5. Olympia Bover & Manuel Arellano & Samuel Bentolila, 2002. "Unemployment Duration, Benefit Duration and the Business Cycle," Economic Journal, Royal Economic Society, vol. 112(479), pages 223-265, April.
  6. 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.
  7. Kalwij, Adriaan, 2001. "Individuals' Unemployment Experiences: Heterogeneity and Business Cycle Effects," IZA Discussion Papers 370, Institute for the Study of Labor (IZA).
  8. Gaure, Simen & Røed, Knut & Zhang, Tao, 2005. "Time and Causality: A Monte Carlo Assessment of the Timing-of-Events Approach," Memorandum 19/2005, Oslo University, Department of Economics.
  9. Knut R¯ed & Oddbj¯rn Raaum, 2003. "Administrative registers - Unexplored reservoirs of Scientific Knowledge?," Economic Journal, Royal Economic Society, vol. 113(488), pages F258-F281, 06.
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