IDEAS home Printed from https://ideas.repec.org/p/iza/izadps/dp996.html

Bayesian Inference for Duration Data with Unobserved and Unknown Heterogeneity: Monte Carlo Evidence and an Application

Author

Listed:
  • Paserman, M. Daniele

    (Boston University)

Abstract

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how to obtain predictive distributions for duration data that correctly account for the uncertainty present in the model. I also directly compare the performance of the proposed estimator with Heckman and Singer's (1984) Non Parametric Maximum Likelihood Estimator (NPMLE). The methodology is applied to the analysis of youth unemployment spells. Compared to the NPMLE, the proposed estimator reflects more accurately the uncertainty surrounding the heterogeneity distribution.

Suggested Citation

  • Paserman, M. Daniele, 2004. "Bayesian Inference for Duration Data with Unobserved and Unknown Heterogeneity: Monte Carlo Evidence and an Application," IZA Discussion Papers 996, IZA Network @ LISER.
    • Handle: RePEc:iza:izadps:dp996
    as

    Download full text from publisher

    File URL: https://docs.iza.org/dp996.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
    2. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-782, July.
    3. Keisuke Hirano, 2002. "Semiparametric Bayesian Inference in Autoregressive Panel Data Models," Econometrica, Econometric Society, vol. 70(2), pages 781-799, March.
    4. Ham, John C & LaLonde, Robert J, 1996. "The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training," Econometrica, Econometric Society, vol. 64(1), pages 175-205, January.
    5. Chamberlain, Gary & Imbens, Guido W, 2003. "Nonparametric Applications of Bayesian Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 12-18, January.
    6. Mark Dynarski & Steven M. Sheffrin, 1987. "Consumption and Unemployment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(2), pages 411-428.
    7. Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
    8. Ham, John C & Rea, Samuel A, Jr, 1987. "Unemployment Insurance and Male Unemployment Duration in Canada," Journal of Labor Economics, University of Chicago Press, vol. 5(3), pages 325-353, July.
    9. Blank, Rebecca M., 1989. "Analyzing the length of welfare spells," Journal of Public Economics, Elsevier, vol. 39(3), pages 245-273, August.
    10. Ruggiero, Michele, 1994. "Bayesian semiparametric estimation of proportional hazards models," Journal of Econometrics, Elsevier, vol. 62(2), pages 277-300, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Konstantinos Tatsiramos, 2009. "Unemployment Insurance in Europe: Unemployment Duration and Subsequent Employment Stability," Journal of the European Economic Association, MIT Press, vol. 7(6), pages 1225-1260, December.
    2. Jurajda, Stepan, 2002. "Estimating the effect of unemployment insurance compensation on the labor market histories of displaced workers," Journal of Econometrics, Elsevier, vol. 108(2), pages 227-252, June.
    3. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53, January.
    4. Fortin, Bernard & Lacroix, Guy, 1997. "Welfare Benefits, Minimum Wage Rate and the Duration of Welfare Spells: Evidence from a Natural Experiment in Canada," Cahiers de recherche 9708, Université Laval - Département d'économique.
    5. Eberwein, Curtis & Ham, John C. & LaLonde, Robert J., 2002. "Alternative methods of estimating program effects in event history models," Labour Economics, Elsevier, vol. 9(2), pages 249-278, April.
    6. Li, Xianghong & Smith, Barry, 2015. "Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 187(1), pages 275-292.
    7. Stepan Jurajda, 2001. "In ow into Unemployment: Employment Spells and Unemployment Insurance," Labor and Demography 0012008, University Library of Munich, Germany.
    8. Fortin, Bernard & Lacroix, Guy & Drolet, Simon, 2004. "Welfare benefits and the duration of welfare spells: evidence from a natural experiment in Canada," Journal of Public Economics, Elsevier, vol. 88(7-8), pages 1495-1520, July.
    9. Islam, Nizamul, 2007. "A Dynamic Tobit Model of Female Labor Supply," Working Papers in Economics 259, University of Gothenburg, Department of Economics.
    10. Mircea Trandafir, 2014. "The Effect of Same-Sex Marriage Laws on Different-Sex Marriage: Evidence From the Netherlands," Demography, Springer;Population Association of America (PAA), vol. 51(1), pages 317-340, February.
    11. Michael Baker & Samuel A. Rea, 1998. "Employment Spells And Unemployment Insurance Eligibility Requirements," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 80-94, February.
    12. Lau, John W., 2006. "Bayesian semi-parametric modeling for mixed proportional hazard models with right censoring," Statistics & Probability Letters, Elsevier, vol. 76(7), pages 719-728, April.
    13. Carvalho, José R. & Bierens, Herman J., 2007. "Conditional Treatment and Its Effect on Recidivism," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(1), May.
    14. Francesco Devicienti, 2011. "Estimating poverty persistence in Britain," Empirical Economics, Springer, vol. 40(3), pages 657-686, May.
    15. Guy Lacroix & Dany Brouillette, 2011. "Assessing the impact of a wage subsidy for single parents on social assistance," Canadian Journal of Economics, Canadian Economics Association, vol. 44(4), pages 1195-1221, November.
    16. Calderón Madrid, Angel, 2006. "Revisiting the Employability Effects of Training Programs for the Unemployed in Developing Countries," IDB Publications (Working Papers) 3254, Inter-American Development Bank.
    17. 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.
    18. DesJardins, Stephen L. & Ahlburg, Dennis A. & McCall, Brian P., 2006. "The effects of interrupted enrollment on graduation from college: Racial, income, and ability differences," Economics of Education Review, Elsevier, vol. 25(6), pages 575-590, December.
    19. Hujer, Reinhard & Wellner, Marc, 2000. "The Effects of Public Sector Sponsored Training on Individual Employment Performance in East Germany," IZA Discussion Papers 141, IZA Network @ LISER.
    20. Rafael Lalive & Jan Van Ours & Josef Zweimuller, 2006. "How Changes in Financial Incentives Affect the Duration of Unemployment," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 1009-1038.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

    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:iza:izadps:dp996. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Fallak (email available below). General contact details of provider: https://edirc.repec.org/data/izaaalu.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.