Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models

Raquel Carrasco () and J. Ignacio García Pérez ()

No 10.11, Working Papers from Universidad Pablo de Olavide, Department of Economics

Abstract: This paper considers the estimation of discrete time duration models. We highlight the enhance identification opportunities embedded in multiple spell data to separately identify the effect of duration dependence and individual time invariant unobserved heterogeneity. We consider two types of models: (i) random effects models specifying a mass point distribution for the unobserved heterogeneity; and (ii) fixed effects models in which the distribution of the effects is left unrestricted. The availability of multiple spell data allows us to consider this type of models, in the spirit of fixed effects discrete choice panel data models. We study the finite sample properties of different estimators for previous models by means of Monte Carlo simulations. Finally, as an empirical illustration, we estimate unemployment duration models using Spanish administrative data with information on the entire labor history of the individuals.

Keywords: Duration models; Discrete choice; Multiple spells; Unobserved heterogeneity; Unemployment. (search for similar items in EconPapers)
JEL-codes: C23 C41 J61 J64 J65 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2010-11
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.upo.es/serv/bib/wps/econ1011.pdf First version, 2010 (application/pdf)

Related works:
Working Paper: Unobserved heterogeneity in multi-spell discrete time duration model (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pab:wpaper:10.11

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