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Identification of lagged duration dependence in multiple-spell competing risks models

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  • Horny, G.
  • Picchio, M.

Abstract

We show that lagged duration dependence is non-parametrically identified in mixed proportional hazard models for duration data, in the presence of competing risks and consecutive spells.

Suggested Citation

  • Horny, G. & Picchio, M., 2009. "Identification of lagged duration dependence in multiple-spell competing risks models," Working papers 260, Banque de France.
  • Handle: RePEc:bfr:banfra:260
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    References listed on IDEAS

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    1. Frijters, Paul, 2002. "The non-parametric identification of lagged duration dependence," Economics Letters, Elsevier, vol. 75(3), pages 289-292, May.
    2. Lawrence F. Katz & Bruce D. Meyer, 1990. "Unemployment Insurance, Recall Expectations, and Unemployment Outcomes," The Quarterly Journal of Economics, Oxford University Press, vol. 105(4), pages 973-1002.
    3. Omori, Yoshiaki, 1998. "The Identifiability of Independent Competing Risks Models with Multiple Spells," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 60(1), pages 107-116, February.
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    5. 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.
    6. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The identifiability of the mixed proportional hazards competing risks model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 701-710.
    7. Doiron, Denise & Gørgens, Tue, 2008. "State dependence in youth labor market experiences, and the evaluation of policy interventions," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 81-97, July.
    8. Bart Cockx & Matteo Picchio, 2012. "Are Short-lived Jobs Stepping Stones to Long-Lasting Jobs?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 646-675, October.
    9. Gagliarducci, Stefano, 2005. "The dynamics of repeated temporary jobs," Labour Economics, Elsevier, vol. 12(4), pages 429-448, August.
    10. Marloes de Graaf-Zijl & Gerard van den Berg & Arjan Heyma, 2011. "Stepping stones for the unemployed: the effect of temporary jobs on the duration until (regular) work," Journal of Population Economics, Springer;European Society for Population Economics, vol. 24(1), pages 107-139, January.
    11. Geert Ridder, 1990. "The Non-Parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Oxford University Press, vol. 57(2), pages 167-181.
    12. Liliane Bonnal & Denis Fougère & Anne Sérandon, 1997. "Evaluating the Impact of French Employment Policies on Individual Labour Market Histories," Review of Economic Studies, Oxford University Press, vol. 64(4), pages 683-713.
    13. Sokbae Lee, 2006. "Identification of a competing risks model with unknown transformations of latent failure times," Biometrika, Biometrika Trust, vol. 93(4), pages 996-1002, December.
    14. Gaure, Simen & Røed, Knut & Westlie, Lars, 2008. "The Impacts of Labor Market Policies on Job Search Behavior and Post-Unemployment Job Quality," IZA Discussion Papers 3802, Institute for the Study of Labor (IZA).
    15. Bo E. Honoré, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 241-246.
    16. Gritz, R. Mark, 1993. "The impact of training on the frequency and duration of employment," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 21-51.
    17. Chris Elbers & Geert Ridder, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 403-409.
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    Citations

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    Cited by:

    1. Bart Cockx & Matteo Picchio, 2013. "Scarring effects of remaining unemployed for long-term unemployed school-leavers," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 176(4), pages 951-980, October.
    2. Bart Cockx & Matteo Picchio, 2012. "Are Short-lived Jobs Stepping Stones to Long-Lasting Jobs?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 646-675, October.
    3. Emmanuelle Lavallée & Vincent Vicard, 2013. "National borders matterwhere one draws the lines too," Canadian Journal of Economics, Canadian Economics Association, vol. 46(1), pages 135-153, February.
    4. Paolo Lucchino & Dr Richard Dorsett, 2013. "Young people's labour market transitions: the role of early experiences," National Institute of Economic and Social Research (NIESR) Discussion Papers 419, National Institute of Economic and Social Research.
    5. Rune Lesner, 2015. "Does labor market history matter?," Empirical Economics, Springer, vol. 48(4), pages 1327-1364, June.
    6. Bart Cockx & Stijn Baert, 2015. "Contracting Out Mandatory Counselling and Training for Long-Term Unemployed. Private For-Profit or Non-Profit, or Keep it Public?," CESifo Working Paper Series 5587, CESifo Group Munich.
    7. Picchio, Matteo, 2012. "Lagged duration dependence in mixed proportional hazard models," Economics Letters, Elsevier, vol. 115(1), pages 108-110.

    More about this item

    Keywords

    lagged duration dependence; competing risks; mixed proportional hazard models; identification.;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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