IDEAS home Printed from https://ideas.repec.org/p/pab/wpaper/18.03.html
   My bibliography  Save this paper

Estimation of competing risks duration models with unobserved heterogeneity using hsmlogit

Author

Listed:
  • David Troncoso-Ponce

    (Área de Análisis Económico. Departamento de Economía, Métodos Cuantitativos e Historia Económica. Universidad Pablo de Olavide.)

Abstract

This article presents hsmlogit, a new Stata command that estimates multispells discrete time competing risks duration models with unobserved heterogeneity. hsmlogit allows for the estimation of one, two and up to three competing risks, as well as a maximum of ve points of support for the identication of unobserved heterogeneity distribution (Heckman and Singer, 1984). The main contribution of hsmlogit is that allows for exploiting the richness of large longitudinal micro datasets, by estimating competing risks duration models, instead of one-risk models (such as hshaz and hshaz2), as well as it takes into account the presence of unobserved heterogeneity affecting transition rates. In addition to this, and taking into account the larger size of longitudinal micro datasets used for the estimation of discrete time duration models, hsmlogit also provides the algebraic expressions of both rst and second order derivatives that, respectively, dene the gradient vector and Hessian matrix, which signicantly reduce time required to achieve model convergence.

Suggested Citation

  • David Troncoso-Ponce, 2018. "Estimation of competing risks duration models with unobserved heterogeneity using hsmlogit," Working Papers 18.03, Universidad Pablo de Olavide, Department of Economics.
    • Handle: RePEc:pab:wpaper:18.03
    as

    Download full text from publisher

    File URL: http://www.upo.es/serv/bib/wps/econ1803.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. José Mª Arranz & Carlos García-Serrano & Virginia Hernanz, 2012. "How do we pursue labormetrics? An application using the MCVL," Alcamentos 1201, Universidad de Alcalá, Departamento de Economía., revised 2013.
    2. Jaap H. Abbring & Gerard J. van den Berg, 2004. "Analyzing the effect of dynamically assigned treatments using duration models, binary treatment models, and panel data models," Empirical Economics, Springer, vol. 29(1), pages 5-20, January.
    3. Jenkins, Stephen P, 1995. "Easy Estimation Methods for Discrete-Time Duration Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(1), pages 129-138, February.
    4. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, March.
    5. Gaure, Simen & Roed, Knut & Zhang, Tao, 2007. "Time and causality: A Monte Carlo assessment of the timing-of-events approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1159-1195, December.
    6. 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.
    7. Lancaster,Tony, 1992. "The Econometric Analysis of Transition Data," Cambridge Books, Cambridge University Press, number 9780521437899, January.
    8. José María Arranz & Carlos García Serrano, 2011. "Are the MCVL tax data useful? Ideas for mining," Hacienda Pública Española / Review of Public Economics, IEF, vol. 199(4), pages 151-186, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Samuel Bentolila & J. Ignacio García-Pérez & Marcel Jansen, 2017. "Are the Spanish Long-Term Unemployed Unemployable?," Working Papers wp2018_1707, CEMFI.
    2. Samuel Bentolila & J. Ignacio García-Pérez & Marcel Jansen, 2017. "Are the Spanish long-term unemployed unemployable?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 8(1), pages 1-41, March.
    3. Cockx, Bart & Robin, Stéphane R. & Goebel, Christian, 2006. "Income Support Policies for Part-Time Workers: A Stepping-Stone to Regular Jobs? An Application to Young Long-Term Unemployed Women in Belgium," IZA Discussion Papers 2432, Institute of Labor Economics (IZA).
    4. Matteo Picchio & Stefano Staffolani, 2019. "Does apprenticeship improve job opportunities? A regression discontinuity approach," Empirical Economics, Springer, vol. 56(1), pages 23-60, January.
    5. Høgelund, Jan & Holm, Anders & McIntosh, James, 2010. "Does graded return-to-work improve sick-listed workers' chance of returning to regular working hours?," Journal of Health Economics, Elsevier, vol. 29(1), pages 158-169, January.
    6. Yolanda Rebollo-Sanz & J. García-Pérez, 2015. "Are unemployment benefits harmful to the stability of working careers? The case of Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(1), pages 1-41, March.
    7. Rebollo-Sanz, Yolanda, 2012. "Unemployment insurance and job turnover in Spain," Labour Economics, Elsevier, vol. 19(3), pages 403-426.
    8. Nicoletti, Cheti & Rondinelli, Concetta, 2010. "The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 159(1), pages 1-13, November.
    9. Garcia-Louzao, Jose, 2022. "Workers’ job mobility in response to severance pay generosity," Labour Economics, Elsevier, vol. 75(C).
    10. Kyyrä, Tomi, 2010. "Partial unemployment insurance benefits and the transition rate to regular work," European Economic Review, Elsevier, vol. 54(7), pages 911-930, October.
    11. Nicoletti, Cheti & Rondinelli, Concetta, 2006. "The (mis)specification of discrete time duration models with unobserved heterogenity: a Monte Carlo study," ISER Working Paper Series 2006-53, Institute for Social and Economic Research.
    12. Raquel Carrasco & José Ignacio García Pérez, 2010. "Unobserved Heterogeneity in Multi-Spell Discrete Time Duration Models," Working Papers 10.11, Universidad Pablo de Olavide, Department of Economics.
    13. B. Cockx & C. Goebel & S. Robin, 2009. "Is income support for part-time workers a steppingstone to regular jobs? An application to young long-term unemployed women," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/561, Ghent University, Faculty of Economics and Business Administration.
    14. Brian Graversen & Brian Larsen, 2013. "Is there a threat effect of mandatory activation programmes for the long-term unemployed?," Empirical Economics, Springer, vol. 44(2), pages 1031-1051, April.
    15. Florentino Felgueroso & José-Ignacio García-Pérez & Marcel Jansen & David Troncoso-Ponce, 2018. "The Surge in Short-Duration Contracts in Spain," De Economist, Springer, vol. 166(4), pages 503-534, December.
    16. Rebollo-Sanz, Yolanda Fatima & Rodríguez-Planas, Núria, 2016. "When the Going Gets Tough... Financial Incentives, Duration of Unemployment and Job-Match Quality," IZA Discussion Papers 10044, Institute of Labor Economics (IZA).
    17. Albanese, Andrea & Picchio, Matteo & Ghirelli, Corinna, 2020. "Timed to Say Goodbye: Does Unemployment Benefit Eligibility Affect Worker Layoffs?," Labour Economics, Elsevier, vol. 65(C).
    18. Stijn Baert & Bas van der Klaauw & Gijsbert van Lomwel, 2018. "The effectiveness of medical and vocational interventions for reducing sick leave of self‐employed workers," Health Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 139-152, February.
    19. Richard Layte & Tim Callan, 2001. "Unemployment, Welfare Benefits and the Financial Incentive to Work," The Economic and Social Review, Economic and Social Studies, vol. 32(2), pages 103-129.
    20. J. Ignacio García‐Pérez & Fernando Muñoz‐Bullón, 2011. "Transitions into Permanent Employment in Spain: An Empirical Analysis for Young Workers," British Journal of Industrial Relations, London School of Economics, vol. 49(1), pages 103-143, March.

    More about this item

    Keywords

    Duration analysis; Unobserved heterogeneity; d2 ml method; hshaz; hshaz2; hsmlogit; Hessian matrix; Multinomial Logit; Competing risks; Stata.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
    • J68 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Public Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pab:wpaper:18.03. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Publicación Digital - UPO (email available below). General contact details of provider: https://edirc.repec.org/data/deupoes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.