Conducting Inference in Semiparametric Duration Models under Inequality Restrictions on the Shape of the Hazard Implied by Job Search Theory
Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These tests provide another link between the empirical and theoretical literatures on unemployment duration and job search. The GHK probability simulator makes it straightforward to generate approximate hypothesis test results, as simulation estimates of the probability under the null hypothesis are generated using the asymptotic normal approximation to the distribution of the hazard parameters obtained from maximum likelihood estimation. Importance sampling is used to conduct inference under the null and obtain exact finite sample estimates of the probability the null is satisfied. A new algorithm for maintaining stability of the importance weights is also developed.
Volume (Year): 14 (1999)
Issue (Month): 6 (Nov.-Dec.)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/0883-7252/|
|Order Information:|| Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252 Email: |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993.
"Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models,"
Journal of Econometrics,
Elsevier, vol. 58(3), pages 347-368, August.
- Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990. "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers 960, Cowles Foundation for Research in Economics, Yale University.
- McCall, Brian P, 1994.
"The Effect of Job Heterogeneity on Reservation Wages,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 773-791, August.
- McCall, B.P., 1992. "The Effect of Job Heterogeneity on Reservation Wages," Papers 92-13, Minnesota - Industrial Relations Center.
- Barnett, William A. & Geweke, John & Wolfe, Michael, 1991. "Seminonparametric Bayesian estimation of the asymptotically ideal production model," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 5-50.
- Dale Mortensen, 1984.
"Job Search and Labor Market Analysis,"
594, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Danielsson, J & Richard, J-F, 1993. "Accelerated Gaussian Importance Sampler with Application to Dynamic Latent Variable Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 153-173, Suppl. De.
- Lynch, Lisa M, 1989. "The Youth Labor Market in the Eighties: Determinants of Re-employment Probabilities for Young Men and Women," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 37-45, February.
- Kenneth Burdett & Tara Vishwanath, 1988. "Declining Reservation Wages and Learning," Review of Economic Studies, Oxford University Press, vol. 55(4), pages 655-665.
- Torelli, Nicola & Trivellato, Ugo, 1993. "Modelling inaccuracies in job-search duration data," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 187-211, September.
- Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-956, July.
- Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells,"
Econometric Society, vol. 58(4), pages 757-782, July.
- Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-1339, November.
- Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-141, April.
- Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 347-368, September.
When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:14:y:1999:i:6:p:587-605. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.