IDEAS home Printed from https://ideas.repec.org/a/jae/japmet/v16y2001i1p1-22.html
   My bibliography  Save this article

Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior

Author

Listed:
  • Michele Campolieti

    (Division of Management, University of Toronto at Scarborough and Center for Industrial Relations, University of Toronto)

Abstract

This paper proposes a Bayesian estimator for a discrete time duration model which incorporates a non-parametric specification of the unobserved heterogeneity distribution, through the use of a Dirichlet process prior. This estimator offers distinct advantages over the Nonparametric Maximum Likelihood estimator of this model. First, it allows for exact finite sample inference. Second, it is easily estimated and mixed with flexible specifications of the baseline hazard. An application of the model to employment duration data from the Canadian province of New Brunswick is provided. Copyright © 2001 John Wiley & Sons, Ltd.

Suggested Citation

  • Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
    • Handle: RePEc:jae:japmet:v:16:y:2001:i:1:p:1-22
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca:80/jae/2001-v16.1/
    File Function: Supporting data files and programs
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
    2. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-679, June.
    3. Michael Baker & Samuel A. Rea, 1998. "Employment Spells And Unemployment Insurance Eligibility Requirements," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 80-94, February.
    4. Gary Chamberlain & Guido W. Imbens, 1995. "Semiparametric Applications of Bayesian Influence," Harvard Institute of Economic Research Working Papers 1716, Harvard - Institute of Economic Research.
    5. Baker, Michael & Melino, Angelo, 2000. "Duration dependence and nonparametric heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 96(2), pages 357-393, June.
    6. Gunderson, Morley & Melino, Angelo, 1990. "The Effects of Public Policy on Strike Duration," Journal of Labor Economics, University of Chicago Press, vol. 8(3), pages 295-316, July.
    7. Narendranathan, W & Stewart, Mark B, 1993. "How Does the Benefit Effect Vary as Unemployment Spells Lengthen?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 361-381, Oct.-Dec..
    8. Christofides, Louis N & McKenna, C J, 1996. "Unemployment Insurance and Job Duration in Canada," Journal of Labor Economics, University of Chicago Press, vol. 14(2), pages 286-312, April.
    9. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
    10. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September.
    11. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
    12. Ruggiero, Michele, 1994. "Bayesian semiparametric estimation of proportional hazards models," Journal of Econometrics, Elsevier, vol. 62(2), pages 277-300, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ando, Tomohiro, 2009. "Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1925-1939, April.
    2. Bhattacharjee, Arnab & Bhattacharjee, Madhuchhanda, 2007. "Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing," MPRA Paper 3938, University Library of Munich, Germany.
    3. Natalia Isachenkova & Melvyn Weeks, 2009. "Acquisition, Involvency and Managers in UK Small Companies," Working Papers wp390, Centre for Business Research, University of Cambridge.
    4. Lau, John W., 2006. "Bayesian semi-parametric modeling for mixed proportional hazard models with right censoring," Statistics & Probability Letters, Elsevier, vol. 76(7), pages 719-728, April.
    5. Isachenkova, N. & Weeks, M., 2008. "Acquisition, Insolvency and Managers in UK Small Companies," Cambridge Working Papers in Economics 0838, Faculty of Economics, University of Cambridge.
    6. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53.
    7. Pankaj C. Patel & Mike G. Tsionas, 2022. "Learning‐by‐lending and learning‐by‐repaying: A two‐sided learning model for defaults on Small Business Administration loans," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(4), pages 906-919, June.
    8. Paserman, M. Daniele, 2004. "Bayesian Inference for Duration Data with Unobserved and Unknown Heterogeneity: Monte Carlo Evidence and an Application," IZA Discussion Papers 996, Institute of Labor Economics (IZA).
    9. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53, January.
    10. Munkin, Murat K., 2011. "The Endogenous Sequential Probit model: An application to the demand for hospital utilization," Economics Letters, Elsevier, vol. 112(2), pages 182-185, August.
    11. Zamanzadeh, Akbar & Chan, Marc K. & Ehsani, Mohammad Ali & Ganjali, Mojtaba, 2020. "Unemployment duration, Fiscal and monetary policies, and the output gap: How do the quantile relationships look like?," Economic Modelling, Elsevier, vol. 91(C), pages 613-632.
    12. Mojtaba Ganjali & T. Baghfalaki & D. Berridge, 2014. "A Bayesian Analysis of Unobserved Heterogeneity for Unemployment Duration Data in the Presence of Interval Censoring," International Econometric Review (IER), Econometric Research Association, vol. 6(1), pages 24-41, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eberwein, Curtis & Ham, John C. & LaLonde, Robert J., 2002. "Alternative methods of estimating program effects in event history models," Labour Economics, Elsevier, vol. 9(2), pages 249-278, April.
    2. Albanese, Andrea & Picchio, Matteo & Ghirelli, Corinna, 2020. "Timed to Say Goodbye: Does Unemployment Benefit Eligibility Affect Worker Layoffs?," Labour Economics, Elsevier, vol. 65(C).
    3. Hess Wolfgang & Tutz Gerhard & Gertheiss Jan, 2016. "A Flexible Link Function for Discrete-Time Duration Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(4), pages 455-481, August.
    4. Baker, Michael & Melino, Angelo, 2000. "Duration dependence and nonparametric heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 96(2), pages 357-393, June.
    5. Sadat Reza & Paul Rilstone, 2016. "Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 693-726, May.
    6. Mircea Trandafir, 2014. "The Effect of Same-Sex Marriage Laws on Different-Sex Marriage: Evidence From the Netherlands," Demography, Springer;Population Association of America (PAA), vol. 51(1), pages 317-340, February.
    7. José Ignacio García Pérez, 2003. "Non-stationary Job Search When Jobs Do Not Last Forever: A Structural Estimation to Evaluate Alternative Unemployment Insurance Systems," Economic Working Papers at Centro de Estudios Andaluces E2003/49, Centro de Estudios Andaluces.
    8. Jurajda, Stepan, 2002. "Estimating the effect of unemployment insurance compensation on the labor market histories of displaced workers," Journal of Econometrics, Elsevier, vol. 108(2), pages 227-252, June.
    9. Michael Baker & Samuel A. Rea, 1998. "Employment Spells And Unemployment Insurance Eligibility Requirements," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 80-94, February.
    10. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53, January.
    11. Li, Xianghong & Smith, Barry, 2015. "Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 187(1), pages 275-292.
    12. Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics.
    13. Knut Roed & Tao Zhang, 2003. "Does Unemployment Compensation Affect Unemployment Duration?," Economic Journal, Royal Economic Society, vol. 113(484), pages 190-206, January.
    14. Yang, Zhenlin & Tsui, Albert K., 2004. "Analytically calibrated Box-Cox percentile limits for duration and event-time models," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 649-677, December.
    15. repec:zbw:rwirep:0268 is not listed on IDEAS
    16. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460, Elsevier.
    17. Timothy Dunne & Xiaoyi Mu, 2010. "Investment Spikes And Uncertainty In The Petroleum Refining Industry," Journal of Industrial Economics, Wiley Blackwell, vol. 58(1), pages 190-213, March.
    18. Bachmann, Ronald & Baumgarten, Daniel & Stiebale, Joel, 2011. "Cross-border Investment, Heterogeneous Workers, and Employment Security – Evidence from Germany," Ruhr Economic Papers 268, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    19. Bernard Fortin & Guy Lacroix, 1997. "Welfare Benefits, Minimum Wage Rate and the Duration of Welfare Spells: Evidence from a Natural Experiment in Canada," CIRANO Working Papers 97s-25, CIRANO.
    20. Stepan Jurajda, 2001. "In ow into Unemployment: Employment Spells and Unemployment Insurance," Labor and Demography 0012008, University Library of Munich, Germany.
    21. J. Ignacio García‐Pérez, 2006. "Job separation in a non‐stationary search model: a structural estimation to evaluate alternative unemployment insurance systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 245-272, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:16:y:2001:i:1:p:1-22. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    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 (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.