Econometrics of Individual Labor Market Transitions
Denis Fougere () and
Thierry Kamionka ()
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Thierry Kamionka: CREST-INSEE
No 1850, IZA Discussion Papers from Institute of Labor Economics (IZA)
This survey is devoted to the modelling and the estimation of reduced-form transition models, which have been extensively used and estimated in labor microeconometrics. The first section contains a general presentation of the statistical modelling of such processes using continuous-time (event-history) data. It also presents parametric and nonparametric estimation procedures, and focuses on the treatment of unobserved heterogeneity. The second section deals with the estimation of markovian processes using discrete-time panel observations. Here the main question is whether the discrete-time panel observation of a transition process is generated by a continuous-time homogeneous Markov process. After discussing this problem, we present maximum-likelihood and bayesian procedures for estimating the transition intensity matrix governing the process evolution. Particular attention is paid to the estimation of the continuous-time mover-stayer model, which is the more elementary model of mixed Markov chains.
Keywords: unobserved heterogeneity; labor market transitions; markovian processes; mover-stayer model (search for similar items in EconPapers)
JEL-codes: C41 C51 J64 (search for similar items in EconPapers)
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Published in: Patrick Sevestre and Lazlo Matyas (eds.), The Econometrics of Panel Data: Handbook of Theory and Applications, 3rd ed., Springer, 2008, 865-905
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Working Paper: Econometrics of Individual Labor Market Transitions (2005)
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