Unobserved Heterogeneity in Multiple-Spell Multiple-States Duration Models
In survival analysis a large literature using frailty models, or models with unobserved heterogeneity, exist. In the growing literate on multiple spell multiple states duration models, or multistate models, modeling this issue is only at its infant phase. Ignoring unobserved heteogeneity can, however, produce incorrect results. This paper presents how unobserved heterogeneity can be incorporated into multistate models, with an emphasis on semi-Markov multistate models with a mixed proportional hazard structure. First, the aspects of frailty modeling in univariate (proportional hazard, Cox) duration models are addressed and some important models with unobserved heterogeneity are discussed. Second, the domain is extended to modeling of parallel/clustered multivariate duration data with unobserved heterogeneity. The implications of choosing shared or correlated unobserved heterogeneity is highlighted. The relevant differences with recurrent events data is covered next. They include the choice of the time scale and risk set which both have important implications for the way unobserved heterogeneity influence the model. Multistate duration models can have both parallel and recurrent events. Incorporating unobserved heterogeneity in multistate models, therefore, brings all the previously addressed issues together. Although some estimation procedures are covered the emphasis is on conceptual issues. The importance of including unobserved heterogeneity in multistate duration models is illustrated with data on labour market and migration dynamics of recent immigrants to The Netherlands.
|Date of creation:||Nov 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Drayton House, 30 Gordon Street, London WC1H 0AX|
Phone: +44 (0)20 7679 5888
Fax: +44 (0)20 7916 2775
Web page: http://www.cream-migration.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bijwaard, G.E., 2009.
"Labour Market Status and Migration Dynamics,"
Econometric Institute Research Papers
EI 2009-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christopher J. Flinn & James J. Heckman, 1982.
"Are Unemployment and Out of the Labor Force Behaviorally Distinct Labor Force States?,"
NBER Working Papers
0979, National Bureau of Economic Research, Inc.
- Flinn, Christopher J & Heckman, James J, 1983. "Are Unemployment and Out of the Labor Force Behaviorally Distinct Labor Force States?," Journal of Labor Economics, University of Chicago Press, vol. 1(1), pages 28-42, January.
- Govert Bijwaard, 2010. "Immigrant migration dynamics model for The Netherlands," Journal of Population Economics, Springer;European Society for Population Economics, vol. 23(4), pages 1213-1247, September.
- Courgeau, Daniel & Lelievre, Eva, 1993. "Event History Analysis in Demography," OUP Catalogue, Oxford University Press, number 9780198287384, December.
- 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.
- Jaap H. Abbring & Gerard J. van den Berg, 2006.
"The Unobserved Heterogeneity Distribution in Duration Analysis,"
Tinbergen Institute Discussion Papers
06-059/3, Tinbergen Institute.
- Jaap H. Abbring & Gerard J. Van Den Berg, 2007. "The unobserved heterogeneity distribution in duration analysis," Biometrika, Biometrika Trust, vol. 94(1), pages 87-99.
- Abbring, Jaap H & van den Berg, Gerard J, 2007. "The Unobserved Heterogeneity Distribution in Duration Analysis," CEPR Discussion Papers 6219, C.E.P.R. Discussion Papers.
- van den Berg, Gerard J., 1997. "Association measures for durations in bivariate hazard rate models," Journal of Econometrics, Elsevier, vol. 79(2), pages 221-245, August.
- J. Heckman & B. Singer, 1984. "The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 51(2), pages 231-241.
- Geert Ridder & Tiemen Woutersen, 2001. "The Singularity of the Efficiency Bound of the Mixed Proportional Hazard Model," UWO Department of Economics Working Papers 20019, University of Western Ontario, Department of Economics.
- Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July.
- Van den Berg, Gerard J., 2000.
"Duration Models: Specification, Identification, and Multiple Durations,"
9446, University Library of Munich, Germany.
- 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.
- Luc Duchateau & Paul Janssen & Iva Kezic & Catherine Fortpied, 2003. "Evolution of recurrent asthma event rate over time in frailty models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(3), pages 355-363.
- Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
- 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.
- Bijwaard, Govert E. & Franses, Philip Hans & Paap, Richard, 2006.
"Modeling Purchases as Repeated Events,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 24, pages 487-502, October.
- Schmidt, Peter & Witte, Ann Dryden, 1989.
"Predicting criminal recidivism using 'split population' survival time models,"
Journal of Econometrics,
Elsevier, vol. 40(1), pages 141-159, January.
- Peter Schmidt & Ann Dryden Witte, 1987. "Predicting Criminal Recidivism Using "Split Population" Survival Time Models," NBER Working Papers 2445, National Bureau of Economic Research, Inc.
- James Vaupel & Kenneth Manton & Eric Stallard, 1979. "The impact of heterogeneity in individual frailty on the dynamics of mortality," Demography, Springer;Population Association of America (PAA), vol. 16(3), pages 439-454, August.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- 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.
- Gerda Claeskens & Rosemary Nguti & Paul Janssen, 2008. "One-sided tests in shared frailty models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 69-82, May.
When requesting a correction, please mention this item's handle: RePEc:nor:wpaper:2012033. 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: (Norface Migration Administrator)or (Thomas Cornelissen)
If references are entirely missing, you can add them using this form.