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

Author

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  • 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)

Abstract

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.

Suggested Citation

  • Denis Fougère & Thierry Kamionka, 2003. "Bayesian inference for the mover-stayer model in continuous time with an application to labour market transition data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 697-723.
  • Handle: RePEc:jae:japmet:v:18:y:2003:i:6:p:697-723
    DOI: 10.1002/jae.727
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    References listed on IDEAS

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    Cited by:

    1. Moshe Buchinsky & Denis Fougère & Francis Kramarz & Rusty Tchernis, 2002. "Interfirm Mobility, Wages and the Returns to Seniority and Experience in the U.S," Working Papers 2002-29, Center for Research in Economics and Statistics.
    2. Legrand D. F. Saint-Cyr & Laurent Piet, 2017. "Movers and stayers in the farming sector: accounting for unobserved heterogeneity in structural change," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 777-795, August.
    3. Laurent, Piet & Legrand D.F. Saint-Cyr, 2016. "Projection de la population des exploitations agricoles françaises à l’horizon 2025," Working Papers SMART - LERECO 16-11, INRA UMR SMART-LERECO.
    4. Saint-Cyr, Legrand D. F. & Piet, Laurent, 2014. "Movers and Stayers in the Farming Sector: Another Look at Heterogeneity in Structural Change," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 183068, European Association of Agricultural Economists.
    5. Bosch, Mariano & Maloney, William, 2008. "Cyclical movements in unemployment and informality in developing countries," Policy Research Working Paper Series 4648, The World Bank.
    6. Saint-Cyr, Legrand D. F., 2016. "Accounting for farm heterogeneity in the assessment of agricultural policy impacts on structural change," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235778, Agricultural and Applied Economics Association.

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