IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Structural Analysis of Labor Market Transitions Using Indirect Inference

Listed author(s):
  • An, Mark Yuying
  • Liu, Ming

In the econometric analysis of labor market transitions, the data generating process is often specified as a continuous-time semi-Markovian process with a finite state space. With typically short panel data, analysts have long been concerned with the initial conditions problem--- a complication associated with the very first spells observed in the data which are typically left-hand censored or interrupted. For practical convenience, one may want to discard the left-hand censored spells altogether. When there is uncontrolled heterogeneity, this passive approach results in inconsistent parameter estimates for the structural model. It has been well documented that consistent estimation, based on the specification of the correct likelihood function, requires explicit functional forms for the density function of the left-hand censored spells. Such a requirement can not be met, except in very special cases. In this paper we investigate an estimation procedure using indirect inference (II). Our procedure consists of two easy steps. In the first step, a pseudo likelihood function is maximized. In the second, simulations are employed to eliminate the discrepancy of such a pseudo maximum likelihood estimator. We discuss the consistency and asymptotic normality of the II estimator. We describe in detail the pseudo maximum likelihood estimation, the auxiliary parameter estimates and the simulation algorithm. We also implement the procedure using a Dutch data set on labor market histories.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: main text
Download Restriction: no

Paper provided by Duke University, Department of Economics in its series Working Papers with number 96-14.

in new window

Date of creation: 1996
Handle: RePEc:duk:dukeec:96-14
Contact details of provider: Postal:
Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097

Phone: (919) 660-1800
Fax: (919) 684-8974
Web page:

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:duk:dukeec:96-14. 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: (Department of Economics Webmaster)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.