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Instrumental Variable Estimation for Duration Data: A Reappraisal of the Illinois Reemployment Bonus Experiment

Author

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  • G.E. Bijwaard

    (Erasmus University, SEOR)

Abstract

We propose an Instrumental Variable method for Generalised Accelerated Failure Time (GAFT) models that adjust for possible endogeneity of the intervention of interest, without suffering the problems of the intention-to-treat method. We develop an estimatiom procedure that collapses to the linear Rank Estimation procedure for GAFT models with only exogenous variables This is accomplished by using a model that transforms the duration such that for the population parameters, this transformed duration is independent of the instrument. The estimator is used to re-analyse data from the Illinois reemploymnet Bonus experiment

Suggested Citation

  • G.E. Bijwaard, 2002. "Instrumental Variable Estimation for Duration Data: A Reappraisal of the Illinois Reemployment Bonus Experiment," Econometrics 0204001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0204001
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    References listed on IDEAS

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    More about this item

    Keywords

    Duration analysis; Instrumental Variables; ALMP evaluation; endogenous variables;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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