[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/cnb/wpaper/2008-10.html
   My bibliography  Save this paper

Time Aggregation Bias in Discrete Time Models of Aggregate Duration Data

Author

Listed:
  • Michal Franta
Abstract
The paper focuses on the dynamics of unemployment in the Czech Republic over the period 1992-–2007. Unemployment dynamics are elaborated in terms of unemployment inflows and unemployment duration. The paper contributes to the literature dealing with discrete time models of aggregate unemployment duration data by accounting for time aggregation bias. Another innovation relates to the way we examine the impact of time-varying macroeconomic conditions on individual duration dependence and unemployment inflow composition. The estimation results suggest that both unobserved heterogeneity and individual duration dependence are present. The relative impact of the two factors on the aggregate duration dependence, however, changes over time. Next, seasonal effects on the individual hazard rate are detected. We do not find a significant role of macroeconomic influences. Finally, we demonstrate the profound influence of time aggregation of duration data on unemployment duration parameters for empirical data for France and the Czech Republic.

Suggested Citation

  • Michal Franta, 2008. "Time Aggregation Bias in Discrete Time Models of Aggregate Duration Data," Working Papers 2008/10, Czech National Bank.
    • Handle: RePEc:cnb:wpaper:2008/10
    as

    Download full text from publisher

    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2008_10.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Abbring, Jaap H & van den Berg, Gerard J & van Ours, Jan C, 2001. "Business Cycles and Compositional Variation in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 436-448, October.
    2. Carl M. Campbell & John V. Duca, 2007. "The impact of evolving labor practices and demographics on U.S. inflation and unemployment," Working Papers 0702, Federal Reserve Bank of Dallas.
    3. 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.
    4. Berg, G.J. & Ours, J.C., 1993. "Unemployment dynamics and duration dependence in France, the Netherlands and the UK," Serie Research Memoranda 0038, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Gary Solon & Ryan Michaels & Michael W. L. Elsby, 2009. "The Ins and Outs of Cyclical Unemployment," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 84-110, January.
    6. van den Berg, Gerard J & van Ours, Jan C, 1996. "Unemployment Dynamics and Duration Dependence," Journal of Labor Economics, University of Chicago Press, vol. 14(1), pages 100-125, January.
    7. Darby, Michael R & Haltiwanger, John C & Plant, Mark W, 1985. "Unemployment Rate Dynamics and Persistent Unemployment under Rational Expectations," American Economic Review, American Economic Association, vol. 75(4), pages 614-637, September.
    8. Olivier Jean Blanchard & Peter Diamond, 1994. "Ranking, Unemployment Duration, and Wages," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(3), pages 417-434.
    9. Munich, Daniel & Svejnar, Jan, 2007. "Unemployment in East and West Europe," Labour Economics, Elsevier, vol. 14(4), pages 681-694, August.
    10. Michael Rosholm, 2001. "Cyclical variations in unemployment duration," Journal of Population Economics, Springer;European Society for Population Economics, vol. 14(1), pages 173-191.
    11. Jaromír Gottvald, 2005. "Czech Labor Market Flows 1993-2003 (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(1-2), pages 41-53, January.
    12. Abbring, Jaap H. & van den Berg, Gerard J. & van Ours, Jan C., 2002. "The anatomy of unemployment dynamics," European Economic Review, Elsevier, vol. 46(10), pages 1785-1824, December.
    13. Kamil Galuscak & Jan Pavel, 2007. "Unemployment and Inactivity Traps in the Czech Republic: Incentive Effects of Policies," Working Papers 2007/9, Czech National Bank.
    14. Muriel Dejemeppe & Bart Cockx, 2005. "Duration dependence in the exit rate out of unemployment in Belgium. Is it true or spurious?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 1-23.
    15. Kamil Galuscak & Daniel Munich, 2003. "Microfoundations of the Wage Inflation in the Czech Republic," Working Papers 2003/01, Czech National Bank.
    16. Baker, Michael, 1992. "Unemployment Duration: Compositional Effects and Cyclical Variability," American Economic Review, American Economic Association, vol. 82(1), pages 313-321, March.
    17. Stepan Jurajda & Daniel M??nich, 2002. "Understanding Czech Long-Term Unemployment," William Davidson Institute Working Papers Series 498, William Davidson Institute at the University of Michigan.
    18. Terrell, Katherine & Sorm, Vit, 1999. "Labor Market Policies and Unemployment in the Czech Republic," Journal of Comparative Economics, Elsevier, vol. 27(1), pages 33-60, March.
    19. Jouko Verho, 2005. "Unemployment Duration and Business Cycles in Finland," Working Papers 214, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    20. Hélène Turon, 2003. "Inflow Composition, Duration Dependence and their Impact on the Unemployment Outflow Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 31-47, February.
    21. Kamil Galuscak & Daniel Munich, 2005. "Structural and Cyclical Unemployment: What Can We Derive from the Matching Function?," Working Papers 2005/02, Czech National Bank.
    22. Simon Burgess & Hélène Turon, 2005. "Unemployment dynamics in Britain," Economic Journal, Royal Economic Society, vol. 115(503), pages 423-448, April.
    23. Huitfeldt, Henrik, 1996. "Unemployment and Labour Market Transitions in the Czech Republic: Evidence from Micro-data," Working Paper Series 1998:5, Uppsala University, Department of Economics.
    24. van den Berg, Gerard J & van Ours, Jan C, 1994. "Unemployment Dynamics and Duration Dependence in France, the Netherlands and the United Kingdom," Economic Journal, Royal Economic Society, vol. 104(423), pages 432-443, March.
    25. Muriel Dejemeppe, 2005. "A Complete Decomposition of Unemployment Dynamics using Longitudinal Grouped Duration Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 47-70, February.
    26. Vladislav Flek & Kamil Galuscak & Jaromir Gottvald & Jaromir Hurnik & Stepan Jurajda & David Navratil & Petr Mares & Daniel Munich & Tomas Sirovatka & Jiri Vecernik, 2004. "Anatomy of the Czech Labour Market:From Over-Employment to Under-Employment in Ten Years?," Working Papers 2004/07, Czech National Bank.
    27. Shigeru Fujita & Garey Ramey, 2007. "Reassessing the Shimer facts," Working Papers 07-2, Federal Reserve Bank of Philadelphia.
    28. Robert Shimer, 2012. "Reassessing the Ins and Outs of Unemployment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 127-148, April.
    29. Ben Lockwood, 1991. "Information Externalities in the Labour Market and the Duration of Unemployment," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(4), pages 733-753.
    30. Katharine G. Abraham & Robert Shimer, 2001. "Changes in Unemployment Duration and Labor Force Attachment," NBER Working Papers 8513, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dinga, Marián & Münich, Daniel, 2010. "The impact of territorially concentrated FDI on local labor markets: Evidence from the Czech Republic," Labour Economics, Elsevier, vol. 17(2), pages 354-367, April.

    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. Bart Cockx & Muriel Dejemeppe, 2005. "Duration dependence in the exit rate out of unemployment in Belgium. Is it true or spurious?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 1-23, January.
    2. Adriaan Kalwij, 2010. "Unemployment durations and the pattern of duration dependence over the business cycle of British males," Empirical Economics, Springer, vol. 38(2), pages 429-456, April.
    3. Jouko Verho, 2014. "Unemployment duration and the role of compositional variation: evidence from a period of economic crisis in Finland," Empirical Economics, Springer, vol. 47(1), pages 35-56, August.
    4. Guell, Maia & Hu, Luojia, 2006. "Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data," Journal of Econometrics, Elsevier, vol. 133(1), pages 307-341, July.
    5. Ochsen, Carsten, 2008. "How the distribution of unemployment by duration affects the unemployment rate," Thuenen-Series of Applied Economic Theory 88, University of Rostock, Institute of Economics.
    6. Hie Joo Ahn, 2016. "The Role of Observed and Unobserved Heterogeneity in the Duration of Unemployment Spells," Finance and Economics Discussion Series 2016-063r1, Board of Governors of the Federal Reserve System (U.S.), revised 25 Mar 2022.
    7. Abbring, Jaap H. & van den Berg, Gerard J. & van Ours, Jan C., 2002. "The anatomy of unemployment dynamics," European Economic Review, Elsevier, vol. 46(10), pages 1785-1824, December.
    8. Muriel Dejemeppe, 2005. "A Complete Decomposition of Unemployment Dynamics using Longitudinal Grouped Duration Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 47-70, February.
    9. Hie Ahn & James Hamilton, 2016. "Heterogeneity and Unemployment Dynamics," Working Papers id:11130, eSocialSciences.
    10. Jouko Verho, 2005. "Unemployment Duration and Business Cycles in Finland," Working Papers 214, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    11. Hélène Turon, 2003. "Inflow Composition, Duration Dependence and their Impact on the Unemployment Outflow Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 31-47, February.
    12. Turon, Hélène, 2003. "Separability of Duration Dependence and Unobserved Heterogeneity," IZA Discussion Papers 754, Institute of Labor Economics (IZA).
    13. Abbring, Jaap H. & Berg, Gerard J. van den & Ours, Jan C. van, 1997. "Business cycles and compositional variation in U.S. unemployment," Serie Research Memoranda 0020, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    14. Carl Singleton, 2018. "Long‐Term Unemployment and the Great Recession: Evidence from UK Stocks and Flows," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(2), pages 105-126, May.
    15. Andreas Hornstein, 2012. "Accounting for unemployment: the long and short of it," Working Paper 12-07, Federal Reserve Bank of Richmond.
    16. Maia Guell & Luojia Hu, 2003. "Estimating the Probability of Leaving Unemployment Using Uncompleted Spells from Repeated Cross-section Data," Working Papers 854, Princeton University, Department of Economics, Industrial Relations Section..
    17. Robert Shimer, 2012. "Reassessing the Ins and Outs of Unemployment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 127-148, April.
    18. Muriel Dejemeppe & Yves Saks, 2002. "A New Light into Regional Unemployment Disparities in Belgium : Longitudinal Analysis of Grouped Duration Data," LIDAM Discussion Papers IRES 2002019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    19. Pieter Serneels, 2002. "Explaining Non-Negative Duration Dependence Among the Unemployed," CSAE Working Paper Series 2002-13, Centre for the Study of African Economies, University of Oxford.

    More about this item

    Keywords

    Duration dependence; time aggregation bias; unemployment; unemployment duration.;
    All these keywords.

    JEL classification:

    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:cnb:wpaper:2008/10. 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: Jan Babecky (email available below). General contact details of provider: https://edirc.repec.org/data/cnbgvcz.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.