Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models
AbstractThis 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 InfoPaper provided by Universidad Pablo de Olavide, Department of Economics in its series Working Papers with number 10.11.
Length: 34 pages
Date of creation: Nov 2010
Date of revision:
Duration models; Discrete choice; Multiple spells; Unobserved heterogeneity; Unemployment.;
Other versions of this item:
- José Ignacio García Pérez & Raquel Carrasco, 2010. "Unobserved heterogeneity in multi-spell discrete time duration model," Economic Working Papers at Centro de Estudios Andaluces E2010/13, Centro de Estudios Andaluces.
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
- J61 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Geographic Labor Mobility; Immigrant Workers
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- J65 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment Insurance; Severance Pay; Plant Closings
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-DCM-2010-11-20 (Discrete Choice Models)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-ETS-2010-11-20 (Econometric Time Series)
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