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Fixed Effects Maximum Likelihood Estimation of a Flexibly Parametric Proportional Hazard Model with an Application to Job Exits

Author

Listed:
  • Audrey Light

    (Department of Economics, Ohio State University)

  • Yoshiaki Omori

    (Faculty of Economics, Yokohama National University)

Abstract

We extend the fixed effects maximum likelihood estimator to a proportional hazard model with a flexibly parametric baseline hazard. We use the method to estimate a job duration model for young men, and show that failure to account for unobserved fixed effect causes negative schooling and union effects to be downward biased.

Suggested Citation

  • Audrey Light & Yoshiaki Omori, 2012. "Fixed Effects Maximum Likelihood Estimation of a Flexibly Parametric Proportional Hazard Model with an Application to Job Exits," Working Papers 12-03, Ohio State University, Department of Economics.
    • Handle: RePEc:osu:osuewp:12-03
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    File URL: http://www.econ.ohio-state.edu/pdf/alight/wp12-03.pdf
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    References listed on IDEAS

    as
    1. Horowitz, Joel L. & Lee, Sokbae, 2004. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," Journal of Econometrics, Elsevier, vol. 119(1), pages 155-198, March.
    2. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
    3. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460, Elsevier.
    4. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-782, July.
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    Cited by:

    1. Piening, J. & Ehrmann, T. & Meiseberg, B., 2013. "Competing risks for train tickets – An empirical investigation of customer behavior and performance in the railway industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 51(C), pages 1-16.

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    More about this item

    Keywords

    Proportional hazard model; fixed effects;

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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