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Bayesian inference for the mover-stayer model in continuous time with an application to labour market transition data

  • Denis Fougère

    (CNRS and CREST-INSEE, 15 Bd Gabriel Péri, 92245 Malakoff Cedex, France; CEPR, London, UK; and IZA, Bonn, Germany)

  • Thierry Kamionka

    (CNRS and CREST-INSEE, 15 Bd Gabriel Péri, 92245 Malakoff Cedex, France)

This paper presents Bayesian inference procedures for the continuous time mover-stayer model applied to labour market transition data collected in discrete time. These methods allow us to derive the probability of embeddability of the discrete-time modelling with the continuous-time one. A special emphasis is put on two alternative procedures, namely the importance sampling algorithm and a new Gibbs sampling algorithm. Transition intensities, proportions of stayers and functions of these parameters are then estimated with the Gibbs sampling algorithm for individual transition data coming from the French Labour Force Surveys collected over the period 1986-2000. Copyright © 2003 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 18 (2003)
Issue (Month): 6 ()
Pages: 697-723

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Handle: RePEc:jae:japmet:v:18:y:2003:i:6:p:697-723
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  1. Kiefer, Nicholas M, 1978. "Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model," Econometrica, Econometric Society, vol. 46(2), pages 427-34, March.
  2. Geweke, John & Marshall, Robert C & Zarkin, Gary A, 1986. "Exact Inference for Continuous Time Markov Chain Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 653-69, August.
  3. John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis.
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  8. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
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  10. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
  11. Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E., 1985. "Posterior moments computed by mixed integration," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 3-18.
  12. Geweke, John & Marshall, Robert C & Zarkin, Gary A, 1986. "Mobility Indices in Continuous Time Markov Chains," Econometrica, Econometric Society, vol. 54(6), pages 1407-23, November.
  13. Gottschalk, Peter & Moffitt, Robert, 1999. "Changes in Job Instability and Insecurity Using Monthly Survey Data," Journal of Labor Economics, University of Chicago Press, vol. 17(4), pages S91-126, October.
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  15. Thierry Kamionka, 1998. "Simulated maximum likelihood estimation in transition models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C129-C153.
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