Arbeitspapier
Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application
This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how to obtain predictive distributions for duration data that correctly account for the uncertainty present in the model. I also directly compare the performance of the proposed estimator with Heckman and Singer's (1984) Non Parametric Maximum Likelihood Estimator (NPMLE). The methodology is applied to the analysis of youth unemployment spells. Compared to the NPMLE, the proposed estimator reflects more accurately the uncertainty surrounding the heterogeneity distribution.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 996
- Klassifikation
-
Wirtschaft
Duration Analysis; Optimal Timing Strategies
Bayesian Analysis: General
- Thema
-
duration data
Dirichlet process
Bayesian inference
Markov chain Monte Carlo simulation
Statistische Bestandsanalyse
Nichtparametrisches Verfahren
Bayes-Statistik
Maximum-Likelihood-Methode
Schätzung
Jugendarbeitslosigkeit
Theorie
Vereinigte Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Paserman, Marco Daniele
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Paserman, Marco Daniele
- Institute for the Study of Labor (IZA)
Entstanden
- 2004
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