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Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis

  • Wilke, Ralf A.
  • Wichert, Laura

We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor. It is an Akritas (1994) type estimator which adapts the nonparametric conditional hazard rate estimator of Beran (1981) to more typical data situations in applied analysis. We show with simulations that the estimator has nice finite sample properties and our implementation appears to be fast. As an application we estimate nonparametric conditional quantile functions with German administrative unemployment duration data.

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Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 05-67 [rev.].

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Date of creation: 2005
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Handle: RePEc:zbw:zewdip:6085
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  1. Yannis Bilias & Roger Koenker, 2001. "Quantile regression for duration data: A reappraisal of the Pennsylvania Reemployment Bonus Experiments," Empirical Economics, Springer, vol. 26(1), pages 199-220.
  2. Fitzenberger, Bernd & Wilke, Ralf A., 2005. "Using Quantile Regression for Duration Analysis," ZEW Discussion Papers 05-65, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  3. José A. F. Machado & Pedro Portugal, 2002. "Quantile Regression Methods: na Application to U.S. Unemployment Duration," Working Papers w200201, Banco de Portugal, Economics and Research Department.
  4. Fitzenberger, Bernd & Wilke, Ralf A., 2007. "New insights on unemployment duration and post unemployment earnings in Germany: censored Box-Cox quantile regression at work," ZEW Discussion Papers 07-007, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Biewen, Martin & Wilke, Ralf A., 2005. "Unemployment Duration and the Length of Entitlement Periods for Unemployment Benefits: Do the IAB Employment Subsample and the German Socio-Economic Panel Yield the Same Results?," ZEW Discussion Papers 05-05, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  6. Bernd Fitzenberger & Ralf A. Wilke, 2010. "Unemployment Durations in West Germany Before and After the Reform of the Unemployment Compensation System during the 1980s," German Economic Review, Verein für Socialpolitik, vol. 11, pages 336-366, 08.
  7. Koenker R. & Geling O., 2001. "Reappraising Medfly Longevity: A Quantile Regression Survival Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 458-468, June.
  8. Lechner, Michael, 1997. "Eine empirische Analyse der Geburtenentwicklung in den neuen Bundesländern," Discussion Papers 551, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
  9. Dabrowska, D. M., 1995. "Nonparametric Regression with Censored Covariates," Journal of Multivariate Analysis, Elsevier, vol. 54(2), pages 253-283, August.
  10. Wolfgang HÄRDLE & O. LINTON, 1995. "Nonparametric Regression," SFB 373 Discussion Papers 1995,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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