Duration Dependence and Timevarying Variables in Discrete Time Duration Models

Anna D'Addio and Bo E. Honoré ()
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Bo E. Honoré: Department of Economics, University of Aarhus, Denmark, Postal: 8000 Aarhus C, Denmark

Economics Working Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper considers estimation of a dynamic discrete choice model with second order state dependence in the presence of strictly exogenous time-varying explanatory variables. We propose new method for estimating such models, and a small Monte Carlo study suggests that the method erforms well in practice. The method is used to test for duration dependence in labour market spells for French youth. The novelty in the application is that we are able to control for time-varying explanatory variables. In a discrete time duration model, duration dependence will result in second order state dependence, and the paper therefore also adds to the literature on estimation of duration models with unobserved heterogeneity.

Keywords: Panel data; Dynamic Discrete Choice; Unemployment; Duration Dependence (search for similar items in EconPapers)
JEL-codes: C23 C25 C41 J64 (search for similar items in EconPapers)
Pages: 50
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-rmg
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Citations: View citations in EconPapers (2)

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https://repec.econ.au.dk/repec/afn/wp/02/wp02_13.pdf (application/pdf)

Related works:
Journal Article: Duration Dependence and Timevarying Variables in Discrete Time Duration Models (2010)
Working Paper: Duration dependence and time varying variables in discrete time duration models (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:aarhec:2002-13

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