The specification of dynamic discrete-time two-state panel data models

This paper compares two approaches to analyzing longitudinal discrete-time binary outcomes. Dynamic binary response models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus on transitions between states and typically allow for state-specific duration dependence. We show that the former implicitly impose strong and testable restrictions on the transition probabilities. In a case study of poverty transitions, we show that these restrictions are severely rejected against the more flexible multi-spell duration models.T.G.’s research was supported in part by Australian Research Council Grant DP1096862. D.R.H.’s research was supported in part by the Royal Society of New Zealand Marsden Fund Grant MEP1301

Threshold Regression with Endogeneity for Short Panels

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the N−−√ -rate. We provide simulation results that illustrate advantages of the new method in comparison with pure GMM estimation. The simulations also highlight the importance of the choice of instruments in GMM estimation.Tue Gørgens’ research was supported in part by Australian Research Council Grant DP1096862

Semiparametric Estimation of Single-Index Hazard Functions Without Proportional Hazards

This research develops a semiparametric kernel-based estimator of hazard functions which does not assume proportional hazards. The maintained assumption is that the hazard functions depend on regressors only through a linear index. The estimator permits both discrete and continuous regressors, both discrete and continuous failure times, and can be applied to right-censored data and to multiple-risks data, in which case the hazard functions are risk-specific. The estimator is root- n consistent and asymptotically normally distributed. The estimator performs well in Monte Carlo experiments

Reservation wages and working hours for recently unemployed U.S. women

This paper estimates a structural model of job search behavior where jobs are characterized by both wages and working hours. Worker heterogeneity is taken into account by including covariates in the job offer distribution and the utility function. The estimates are bias-corrected using a statistical model of measurement error designed to accommodate recent evidence on the empirical distribution of measurement errors. The results suggest that the difference between full time and part time reservation wages vary from - 16% to 31%, depending on the characteristics of the individual. The hypothesis that full and part time reservation wages are identical is rejected

Nonparametric comparison of regression curves by local linear fitting

This paper proposes a new nonparametric test for the hypothesis that the regression functions in two or more populations are the same. The test is based on local linear estimates using data-driven bandwidth selectors. The test is applicable to data with random regressors and heteroskedastic responses. Simulations indicate the test has good power

Average Derivatives for Hazard Functions

This paper develops semiparametric kernel-based estimators of risk-specific hazard functions for competing risks data. Both discrete and continuous failure times are considered. The maintained assumption is that the hazard function depends on explanator

Semiparametric Estimation of Censored Transformation Models

Many widely used models, including proportional hazards models with unobserved heterogeneity, can be written in the form Λ(Y) = min [β′X + U, C], where Λ is an unknown increasing function, the error term U has unknown distribution function Ψ and i

State Dependence in Youth Labor Market Experiences, and the evaluation of policy interventions

We investigate the extent and type of state dependence in labor market outcomes for young low-skilled Australians. Our model allows for three labor force states, employment, unemployment and out of the labor force, and for observed and unobserved heterogeneity. We find evidence of occurrence dependence, but no lagged duration dependence. A past employment spell increases the probability of employment in the future, but the length of the spell does not matter. A past spell of unemployment undoes the positive benefits from a spell in employment. Interpretations of these effects and implications for labor market policies are discussed

Testing a parametric function against a non-parametric alternative in IV and GMM settings

This paper develops a specification test for functional form for models identified by a conditional moment restriction, including IV and GMM settings. The framework is one where the moment restriction is specified as a function of data, a finite-dimensional parameter vector and a non-parametric function (an infinite-dimensional parameter vector). The null hypothesis is that the moment restriction does not depend on the non-parametric function. The test is relatively easy to implement and its asymptotic distribution is known. The test performs well in simulation experiments