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Time Aggregation Bias in Discrete Time Models of Aggregate Duration Data

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  • Michal Franta

Abstract

The paper focuses on the dynamics of unemployment in the Czech Republic over the period 1992-–2007. Unemployment dynamics are elaborated in terms of unemployment inflows and unemployment duration. The paper contributes to the literature dealing with discrete time models of aggregate unemployment duration data by accounting for time aggregation bias. Another innovation relates to the way we examine the impact of time-varying macroeconomic conditions on individual duration dependence and unemployment inflow composition. The estimation results suggest that both unobserved heterogeneity and individual duration dependence are present. The relative impact of the two factors on the aggregate duration dependence, however, changes over time. Next, seasonal effects on the individual hazard rate are detected. We do not find a significant role of macroeconomic influences. Finally, we demonstrate the profound influence of time aggregation of duration data on unemployment duration parameters for empirical data for France and the Czech Republic.

Suggested Citation

  • Michal Franta, 2008. "Time Aggregation Bias in Discrete Time Models of Aggregate Duration Data," Working Papers 2008/10, Czech National Bank.
    • Handle: RePEc:cnb:wpaper:2008/10
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    References listed on IDEAS

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    Cited by:

    1. Dinga, Marián & Münich, Daniel, 2010. "The impact of territorially concentrated FDI on local labor markets: Evidence from the Czech Republic," Labour Economics, Elsevier, vol. 17(2), pages 354-367, April.

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    More about this item

    Keywords

    Duration dependence; time aggregation bias; unemployment; unemployment duration.;
    All these keywords.

    JEL classification:

    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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