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Analysing incomplete individual employment histories using indirect inference

Author

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  • Thierry Magnac

    (GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Marc Robin
  • Michael Visser

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper we apply the Indirect Inference method to estimate the parameters of a semi-Markov transition model when the data are subject to a complex form of censoring. There is no explicit expression for the likelihood function, and therefore Maximum Likelihood estimation is computationally burdensome. The econometric methodology of Indirect Inference is first tested on simulated data under various assumptions about the distribution of spell durations and transitions. Then, it is applied to labour market transitions between self-employment, wage-work, and unemployment using the 1986-1988 French labour force survey. Although the analysis is basically a reduced-form analysis, we motivate our transition model in terms of a structural search model.

Suggested Citation

  • Thierry Magnac & Jean-Marc Robin & Michael Visser, 1995. "Analysing incomplete individual employment histories using indirect inference," Post-Print hal-03393500, HAL.
    • Handle: RePEc:hal:journl:hal-03393500
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    Cited by:

    1. Robert M. Sauer & Christopher Taber, 2021. "Understanding women's wage growth using indirect inference with importance sampling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(4), pages 453-473, June.
    2. Emi Nakamura & Dawit Zerom, 2010. "Accounting for Incomplete Pass-Through," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 1192-1230.
    3. Andrey Launov & Klaus Wälde, 2013. "Estimating Incentive And Welfare Effects Of Nonstationary Unemployment Benefits," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(4), pages 1159-1198, November.
    4. Bo Honoré & Áureo de Paula, 2011. "Interdependent Durations in Joint Retirement," Working Papers, Center for Retirement Research at Boston College wp2011-5, Center for Retirement Research, revised Feb 2011.
    5. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
    6. Bruins, Marianne & Duffy, James A. & Keane, Michael P. & Smith, Anthony A., 2018. "Generalized indirect inference for discrete choice models," Journal of Econometrics, Elsevier, vol. 205(1), pages 177-203.
    7. Fatih Guvenen & Anthony A. Smith, 2014. "Inferring Labor Income Risk and Partial Insurance From Economic Choices," Econometrica, Econometric Society, vol. 82, pages 2085-2129, November.
    8. Berg, Gerard J. van den & Klaauw, Bas van der, 1998. "Combining micro and macro unemployment data," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    9. van den Berg, Gerard J. & van der Klaauw, Bas, 2001. "Combining micro and macro unemployment duration data," Journal of Econometrics, Elsevier, vol. 102(2), pages 271-309, June.
    10. Robert M. Sauer & Christopher R. Taber, 2017. "Indirect Inference with Importance Sampling: An Application to Women’s Wage Growth," NBER Working Papers 23669, National Bureau of Economic Research, Inc.
    11. GOBILLON Laurent & SELOD Harris, 2007. "The effects of segregation and spatial mismatch on unemployment: evidence from France," Research Unit Working Papers 0702, Laboratoire d'Economie Appliquee, INRA.
    12. Bo E. Honoré & Áureo de Paula, 2016. "A new model for interdependent durations with an application to joint retirement," CeMMAP working papers CWP07/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Mark Yuying An & Ming Liu, 2000. "Using Indirect Inference To Solve The Initial-Conditions Problem," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 656-667, November.
    14. Melissa Tartari, 2006. "Divorce and the cognitive achievement of children," 2006 Meeting Papers 32, Society for Economic Dynamics.

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