IDEAS home Printed from https://ideas.repec.org/p/aah/aarhec/2002-13.html
   My bibliography  Save this paper

Duration Dependence and Timevarying Variables in Discrete Time Duration Models

Author

Listed:
  • Anna Christina D'Addio
  • Bo E. Honoré

    () (Department of Economics, University of Aarhus, Denmark)

Abstract

This paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in practice. The method is used to test for duration dependence in labour market spells for French youth. The novelty in the application is that we are able to control for time-varying explanatory variables. In a discrete time duration model, duration dependence will result in second order state dependence, and the paper therefore also adds to the literature on estimation of duration models with unobserved heterogeneity.

Suggested Citation

  • Anna Christina D'Addio & Bo E. Honoré, "undated". "Duration Dependence and Timevarying Variables in Discrete Time Duration Models," Economics Working Papers 2002-13, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:aarhec:2002-13
    as

    Download full text from publisher

    File URL: ftp://ftp.econ.au.dk/afn/wp/02/wp02_13.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Olivier Jean Blanchard & Peter Diamond, 1994. "Ranking, Unemployment Duration, and Wages," Review of Economic Studies, Oxford University Press, vol. 61(3), pages 417-434.
    2. David Blanchflower, 1996. "Youth Labour Markets in 23 Countries: A Comparison Using Micro Data," CEP Discussion Papers dp0284, Centre for Economic Performance, LSE.
    3. Chintagunta, Pradeep & Kyriazidou, Ekaterini & Perktold, Josef, 2001. "Panel data analysis of household brand choices," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 111-153, July.
    4. Hilary W. Hoynes & Kenneth Y. Chay & Dean Hyslop, 2004. "True State Dependence In Monthly Welfare Participation:A Nonexperimental Analysis," Working Papers 533, University of California, Davis, Department of Economics.
    5. Anna Christina D'Addio & Michael Rosholm, "undated". "Left-Censoring in Duration Data: Theory and Applications," Economics Working Papers 2002-5, Department of Economics and Business Economics, Aarhus University.
    6. Michael Spence, 1973. "Job Market Signaling," The Quarterly Journal of Economics, Oxford University Press, vol. 87(3), pages 355-374.
    7. Bo Honore & Ekaterini Kyriazidou & J. L. Powell, 2000. "Estimation of tobit-type models with individual specific effects," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 341-366.
    8. Manski, Charles F, 1987. "Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data," Econometrica, Econometric Society, vol. 55(2), pages 357-362, March.
    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. Ulrich Kaiser & Hans Christian Kongsted, 2004. "True versus spurious state dependence in firm performance: the case of West German exports," CAM Working Papers 2004-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    2. Paul Frijters & Maarten Lindeboom & Gerard van den Berg, 2000. "Persistencies in the Labour Market," School of Economics and Finance Discussion Papers and Working Papers Series 087a, School of Economics and Finance, Queensland University of Technology.

    More about this item

    Keywords

    Panel data; Dynamic Discrete Choice; Unemployment; Duration Dependence;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    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:aah:aarhec:2002-13. 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: (). General contact details of provider: http://www.econ.au.dk/afn/ .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.