17 research outputs found
Instrumental variable estimation for duration data
In this article we focus on time-to-event studies with a
randomised treatment assignment that may be compromised by
selective compliance. Contrary to most of the extensive literature
on evaluation studies we do not consider the effect of the
treatment on some average outcome but on the hazard rate. In
time-to-event studies the treatment may vary over time. Another
complication of duration data is that they are usually heavy
censored. Censoring limits the observation period, but is not a
feature of the treatment program. Therefore, a natural choice is
to relate the treatment to the hazard rate. We show that even if
the compliance is selective, we can still use the randomisation to
estimate the impact of the program corrected for selective
compliance on the hazard. The only requirement is that
participation in the program is affected by a variable that is not
correlated with the baseline duration.
We develop an Instrumental Variable estimation procedure for the
Generalized Accelerated Failure Time (GAFT) model. The GAFT model
is a duration data model that encompasses two competing approaches
to such data; the (Mixed) Proportional Hazard (MPH) model and the
Accelerated Failure Time (AFT) model. We discuss the large sample
properties of this Instrumental Linear Rank Estimation and show
how we can improve its efficiency. The estimator is used to
re-analyze the data from the Illinois unemployment bonus
experiment
Modelling the time on unemployment insurance benefits
A duration model based on the time on Unemployment Insurance (UI) benefits
instead of a model based on the time till re-employment is more relevant from a
cost-benefit perspective. The contribution of this paper is to extend the standard (mixed) Proportional
Hazard model to account for an upper bound on the duration. We use a modified
mover-stayer model to this end and discuss the interpretation of the
parameters. In an empirical application we compare the method with the standard
analysis of unemployment duration. We also derive the expected UI-benefit costs
implied by the model for some typical unemployed individuals
Instrumental variable estimation of treatment effects for duration outcomes
In this article we propose and implement an instrumental variable estimation
procedure to obtain treatment effects on duration outcomes. The method can
handle the typical complications that arise with duration data of time-varying
treatment and censoring. The treatment effect we define is in terms of shifting
the quantiles of the outcome distribution based on the Generalized Accelerated
Failure Time (GAFT) model. The GAFT model encompasses two competing approaches
to duration data; the (Mixed) Proportional Hazard (MPH) model and the
Accelerated Failure Time (AFT) model. We discuss the large sample properties of
the proposed Instrumental Variable Linear Rank (IVLR), and show how we can,
with one additional step, improve upon its efficiency. We discuss the empirical
implementation of the estimator and apply it to the Illinois re-employment
bonus experiment
A note on stock sampling and maximum duration
An issue hardly ever mentioned in the analysis of labour market
transitions is that for some individuals labour market transitions
occur at a very low rate. Therefore, these individuals might stay on
disability benefits or in domestic care till they reach the
retirement age of 65. This implies that the duration on disability
and of non-participating women has a upper bound of the time till
retirement.
Despite the growing availability of panel data on labour market
transitions many household surveys are still based on stock based
sampling. In this paper estimation of a duration model in which a
positive fraction of individuals reaches a maximum duration is
derived for stock sampled data. A mixed proportional hazard model
with a piecewise constant baseline hazard leads to a relatively
simple closed-form expression in the log likelihood. Discrete
unobserved heterogeneity is assumed. Non-constant entry rates into
the labour market state are allowed for by assuming a yearly
fluctuating rate
Regularity in individual shopping trips: Implications for duration models in marketing
Most models for purchase timing behavior of households do not take into
account that many households have regular and non-shopping days. I propose a
statistical model for purchase timing that exploits information on the
shopping days of households. It delivers forecasts for the number of purchases
in the next period and for the timing of the first and consecutive purchases.
Purchase occasions are modeled in terms of a counting process, which counts
the recurrent purchases for each household as they evolve over time. I
illustrate the model for yogurt and detergent purchases and highlight its
useful managerial implications
Migration dynamics of immigrants: who leaves, who returns and how quick?
In this paper we analyze the demographic factors that influence the return and
repeated migration of immigrants. Using longitudinal data from Statistics
Netherlands we track migration histories of recent immigrants to The
Netherlands and analyze which migrants will stay in the country, which
migrants are more prone to leave and how quick they leave. In order to
identify these migrants we apply a mover-stayer duration model on the time
spent in the country. We also analyze the return from abroad to The
Netherlands of these migrants. Results disclose differences among migrants by
migration motive and by country of origin and lend support to our analytical
framework. Combining the model for departure from the country and the model
for returning to the country provides the long-run stay probability of a
specific migrant. It also yields a framework for simulating the life-cycle
migration dynamics. The major findings are: (1) labor migrants and students
are more prone to leave and migrants who come for family reasons remain in the
country more often, (2) migrants from the `guestworker' countries, Turkey and
Morocco, will stay in the country more often than
migrants from Western countries
Instrumental variable estimation for duration data
In this article we focus on duration data with an endogenous variable for which
an instrument is available. In duration analysis the covariates and/or the
effect of the covariates may vary over time. Another complication of duration
data is that they are usually heavy censored. The hazard rate is invariant to
censoring. Therefore, a natural choice is to model the hazard rate instead of
the mean.
We develop an Instrumental Variable estimation procedure for the Generalized
Accelerated Failure Time (GAFT) model. The GAFT model is a duration data model
that encompasses two competing approaches to such data; the (Mixed)
Proportional Hazard (MPH) model and the Accelerated Failure Time (AFT) model.
We discuss the large sample properties of this Instrumental Variable Linear
Rank (IVLR) estimation based on counting process theory. We show that choosing
the right weight function in the IVLR can improve its efficiency. We discuss
the implementation of the estimator and apply it to the Illinois re-employment
bonus experiment
Does work-related training reduce the discrepancy between function requirements and competencies?
The issue of lifelong learning is high on the political agenda.
However, despite this political interest and the large economic literature on
human capital, the impact of work-related training on the discrepancy between
function requirements and the skills of the employee has been ignored. In this
paper we use an ordered probit model to analyze the perceived change in
discrepancy. Based on the bi-annual OSA panel from 1998 till 2002 for The
Netherlands, we show that taking a work-related course decreases the
discrepancy significantly. We correct for the endogeneity between the decision
to take a course and the change in discrepancy and we argue that ignoring the
selective decision to take a course leads to misleading conclusions about the
effect of these courses on the change in discrepancy.
Some respondents of the OSA-panel drop out between two waves. To correct for
the possibility of selective attrition we develop an Inverse Probability
Weight (IPW) estimation method for the ordered probit with an endogenous
binary regressor. From the implied marginal effects of the IPW estimation we
conclude that taking a course increases the probability to change the fit
between skills and function requirements from Bad to Good with
16~percent-point
Modeling Migration Dynamics of Immigrants
In this paper we analyze the demographic factors that influence the migration dynamics of recent immigrants to The Netherlands. We show how we can allow for both permanent and temporary migrants. Based on data from Statistics Netherlands we analyze both the departure and the return from abroad for recent non-Dutch immigrants to The Netherlands. Results disclose differences among migrants by migration motive and by country of origin and lend support to our analytical framework. Combining both models, for departure and returning, provides the probability that a specific migrant ends-up in The Netherlands. It also yields a framework for predicting the migration dynamics over the life-cycle. From the obtained insight in the dynamic composition of migrants in the country important policy implications can be derived, including admission procedures for different countries and/or migration motives
Econometric analysis of ship life cycles - are safety inspections effective?
Due to the shipping industry’s international legal framework and the existence of loopholes in the system,
an estimated 5-10 percent of substandard ships exist which are more likely to have incidents with high economic cost.
This article uses ship life cycles to provide insight into the effectiveness of inspections on prolonging ship lives.
We account for fluctuations in the relevant economic environment and the (possible time-varying) ship particulars.
We use a unique dataset containing information on the timing of accidents, inspections, ship particular changes of
more than fifty thousand ships over a 29 year time period (1978-2007). The results of our duration analysis reveal
that the shipping industry is a relative safe industry but there is a possible over-inspection of vessels. It also
reveals the need to improve transparency related to class withdrawals and changes of classification of the vessel.
Another interesting finding is that for the majority of ship types an increase in earnings decreases the incident rate.
This is in contrast to the industry perception of the impact of earnings. The effect of inspections vary across ship
types and the prevention of incidents with high economic costs can be improved by better coordination of inspections,
data sharing and a decrease in the number of inspections . Further, more emphasis should be placed on the
rectification and follow up of deficiencies