Timing and duration effects in residence histories and other longitudinal data: Part 1. Stochastic and statistical models; Part 2. Studies of duration effects in Norway, 1965-1971

The author describes an attempt to fit stochastic models to individual life histories. "In particular, [he] is concerned with the application of semi-Markov processes to the study of the timing of moves and duration of residence effects in the migration histories of Norwegian men over the period 1965-1971." In the second part of the article, the results of 11 studies using data on Norwegian men are presented     

Measuring the duration of emotional experience: the influence of actual duration and response format

In a number of retrospective studies it has been found that the duration of emotional experience is highly variable and several determinants that account for this variability have been identified. However, two issues that may have consequences for the measurement of emotion duration have been left unaddressed. First, it is unclear whether people are capable of remembering the duration of their actual emotional experience. Second, it is uncertain whether estimates of the duration of emotional experience are influenced by the format of the response scale. Participants watched joy- and sadness-sustaining movie fragments of different durations. At the end of the day they were asked to estimate the duration of each fragment or the duration of their emotions during each fragment on a relatively short-range or long-range scale. Regardless of whether fragment or emotion duration was estimated, estimates were (a) largely accurate and (b) higher on long-range compared to short-range scales.     

Contingency relationships of firm size,TQM duration,unionization, and industry context on TQM implementation—A focus on total effects

Past TQM literature has been inconclusive in resolving the validity of the universalistic approach versus the contingency approach of TQM implementation. In this paper we contribute to the resolution of this debate by using a total effects approach within the contingency perspective. We propose a culture-quality system design-outcomes framework for TQM implementation. We then use this framework to study the differences in total effects relationships among TQM constructs across four contingencies, firm size, TQM duration, unionization, and industry type. Data from a sample of 394 plants (SIC codes 20 through 39) are used to test the validity of our contingency model. Our results revealed that firm size, TQM duration, and industry type moderate the influence of total effects of culture (top management commitment, customer focus, and trust) on final outcomes (process quality, product quality, and customer satisfaction). These contingencies also moderate the influence of total effects of quality system design (design management, training, empowerment, quality information usage, supplier quality management, and process quality management) on final outcomes. The strongest contributor to variation in total effects across groups was industry type, followed by size and then TQM duration. To a lesser extent, unionization was a moderator in total effects relationships. These findings uniquely contribute to the emerging contingency theory of TQM implementation.     

Contract duration and indexation in a period of real and nominal uncertainty

A large sample of Canadian union contracts is used to study the determinants of key provisions such as their duration and elasticity of indexation. Over the last two decades the former has doubled and the latter has halved in size. Techniques, which account for the interaction between duration and indexation and a latent elasticity of indexation are used. The period studied (1976–2000) includes high and low inflation and substantial fluctuations in real and nominal uncertainty, allowing these variables to influence contracts. Results suggest that these variables account for the secular and cyclical changes in contract provisions.     

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

In this article, we construct a general model, which considers the borrower’s financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default are reasonably expounded in our model, our formulae are more appropriate than traditional mortgage formulae. We also analyze the effects of the prepayment penalty and partial prepayment on the yield, duration and convexity of a mortgage, and provide lenders with an upper-bound for the mortgage default insurance rate. Our model provides portfolio managers a useful framework to more appropriately appraise the mortgage and more effectively hedge their mortgage holdings. From the results of sensitivity analyses, we find that higher interest-rate, prepayment and default risks will increase the mortgage yield and reduce the duration and convexity of the mortgage.     

Sectoral adjustment of employment to shifts in outsourcing and trade: evidence from a dynamic fixed effects multinomial logit model

This paper analyzes the effects of trade and outsourcing on the transition probabilities of employment between sectors, using a dynamic multinomial logit framework with fixed effects. The data cover a sample of individual Austrian male workers over the period 1988–2001. Our results strongly support the view that international economic forces are important determinants of labor market turnover. In particular, an increase in the outsourcing intensity negatively affects the probability of staying in or changing into the manufacturing sector, even more so for industries with a comparative disadvantage. Copyright © 2007 John Wiley & Sons, Ltd.     

Analysis of the Vocational and Residential Preferences of a Rural Population: Application of an Experimental Technique to Rural Slovenia

Abstract

This study applies choice experiments to the analysis of the relative importance of both monetary and non-monetary determinants of vocational choice and spatial labour supply. It identifies the determinants of individuals’ choice of jobs and places of residence, and provides a better understanding of how rural labour adjustments might be managed in a country in transition. The results indicate that while wages are the most important factor influencing employment choice, other determinants affecting working conditions and residence do have a counterbalancing impact on choice. Results suggest that sample respondents do appear to be relatively immobile between sectors and also in terms of migration and commuting. However, our results do identify a range of non-wage determinants that might be used to stimulate mobility.     

The role of observed and unobserved heterogeneity in the duration of unemployment

This paper studies the degree to which observable and unobservable worker characteristics account for the variation in the aggregate duration of unemployment. I model the distribution of unobserved worker heterogeneity as time varying to capture the interaction of latent attributes with changes in labor-market conditions. Unobserved heterogeneity is the main explanation for the duration dependence of unemployment hazards. Both cyclical and low-frequency variations in the mean duration of unemployment are mainly driven by one subgroup: workers who, for unobserved reasons, stay unemployed for a long time. In contrast, changes in the composition of observable characteristics of workers have negligible effects.     

A comparison of financial duration models via density forecasts

Using density forecast evaluation techniques, we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses various variants of the Autoregressive Conditional Duration (ACD) model and recently proposed dynamic factor models. The evaluation is conducted on time series of trade, price and volume durations computed from transaction data of NYSE listed stocks. The results show that simpler approaches perform at least as well as more complex methods. With respect to modeling trade duration processes, standard ACD models successfully account for duration dynamics while none of the models provides an acceptable specification for the conditional duration distribution. We find that the Logarithmic ACD, if based on a flexible innovation distribution, provides a quite robust and useful framework for the modeling of price and volume duration processes.     

The duration of homelessness: evidence from a national survey

This paper provides evidence on the determinants of the duration of homelessness. We use newly available data from a large-scale, comprehensive microeconomic survey to estimate a parametric survival model of the length of a spell of homelessness. We find that homeless spells are longer for persons with certain demographic characteristics (such as older men) and behavioral histories (for example, previous incarceration and a history of drug and alcohol abuse). Our results suggest that current eligibility criteria for receiving housing assistance, which give preference to drug-free, single women with young children, are unlikely to reduce homelessness substantially and in a cost-effective manner.     

Estimating and interpreting internal migration flows in Russia by accounting for network effects

The present article follows two objectives. First, to apply a recently developed spatial interaction model and discuss its power in explaining social developments. Second, to obtain information on internal migration's determinants in Russia by taking into account that its eastern and western regions differ in many respects. Two alternative panel specifications are considered, labelled “spatial interaction specification with exogenous spatial lags” and “gravity-type specification with network effects”. While both specifications are designed to capture the impacts of neighbouring regions in migration dynamics, they differ with respect to the implementation of fixed effects. It is argued that neighbourhood impacts manifest themselves either as spillover effects, which amplify a variable's impact, or competition effects, which attenuate them. The results show that variables indeed differ from each other in these respects, demonstrating how migration patterns are subject to events beyond the directly involved regions, and that these are furthermore influenced by the distances between regions. In addition, the results provide further evidence that migration determinants differ for Eastern and Western Russia.     

Time aggregation and the distributional shape of unemployment duration

This paper reports empirical evidence on the sensitivity of unemployment duration regression estimates to distributional assumptions and to time aggregation. The results indicate that parameter estimates are robust to distributional assumptions, while estimates of duration dependence are not. Time aggregation does not seem to have drastic effects on the estimates in a simple parametric model like the Weibull, but can produce dramatic changes in the more complicated extended generalized gamma model. Semiparametric models for grouped data produce stable estimates, and perform much better than continuous-time models in terms of significance at high levels of time aggregation.     

How long do housing cycles last? A duration analysis for 19 OECD countries

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. Both upturns and downturns display duration dependence: they are more likely to end as their duration increases. Downturns display also lagged duration dependence: they are less likely to end if the previous upturn was particularly long. These patterns are consistent with a boom-bust view of housing price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain and busts serve as readjustment periods. Findings are robust to the inclusion of macroeconomic variables, which allow for the estimation of additional determinants of house price expansions and contractions.     

Experimental evidence on trading behavior,market efficiency and price formation in double auctions with unknown trading duration

The reasons for the highly efficient market outcomes observed under the double auction remain unclear. This paper presents a series of experimental financial markets designed to investigate the importance of unknown trading period duration on trading behavior and the convergence tendencies of such markets. Using panel data techniques the results support the conclusions that individuals generally display more aggressive trading strategies, trading earlier in a period, and that markets exhibit reduced levels of informational efficiency when unknown duration is present. Markets with imperfect information structures are also studied and, in a unique result, are associated with significantly slower rates of trade, as traders become more cautious over their trading strategies. Investigation of the price formation process provides evidence that the pricing error varies over time and the estimation of a fixed effects model provides unique support that learning effects and unknown trading period duration influence the price formation process. Future refinement of theoretical models of the price formation process or institutions of exchange should recognize the effect of unknown trading period duration on market behavior, along with potential learning effects. Copyright © 2005 John Wiley & Sons, Ltd.     

Entrepreneurship and survival dynamics of immigrants to the U.S. and their descendants

Many studies have explored the determinants of entering into entrepreneurship and the differences in self-employment rates across racial and ethnic groups. However, very little is known about the survival in entrepreneurship of immigrants to the U.S. and their descendants.We adopt a modeling framework based on duration analysis, which takes into account both the fact that the stock of entrepreneurs initially observed represents a selected sample and the inability of observing in the data the exit time for some spells. Unlike previous studies, we find a lower survival probability in entrepreneurship for Mexican and other Hispanic immigrants, which does not carry on to their U.S.-born descendants. We also find that these two immigrant groups tend to enter entrepreneurship from unemployment or inactivity and they are more likely to exit towards employment in the wage sector, suggesting that entrepreneurship represents for them an intermediate step from non-employment to paid employment.     

Contract duration and contractual learning: Evidence from franchising networks

Contract duration in franchising has generally been studied in frameworks where agents are assumed to have a high level of foresight. We complement existing studies by adopting a dynamic perspective that allows us to introduce a learning process in choice and adjustment of contract duration. On the basis of French panel data (1995–2003), collected from the yearbooks of the French Federation of Franchising, results of dynamic models are consistent with the existence of a learning process in the capacity to design appropriate contracts. Our study shows that certain factors, in particular too much franchising, may hinder the achievement of such a capability.     

Timing and duration effects in residence histories and other longitudinal data: I. Stochastic and statistical models

A framework for studying the timing of events in migration histories and other micro-level longitudinal data is presented. The framework derives from a general stochastic model of the histories in which moves depend on the past history of the process, time varying individual characteristics, and exogenous constraints and opportunities. The semi-Markov model plays a distinguished role. The framework emphasizes the range of stochastic models available, the different types of time intervals and observational schemes that can be considered, distributions that can be used to characterize intervals, and statistical methodology. The use and crucial importance of the framework in empirical research is illustrated in the sequel.     

Explaining interviewer effects and respondent behavior: Theoretical models and empirical analysis

The behavior of respondents in interview situations has been dealt on the one hand with respect to many empirical studies and on the other hand in connection with different theoretical approaches (Hyman 1954; Cannell & Kahn 1968). In this paper the most relevant theoretical explanations are discussed and systematized from the point of view of the theory of reasoned action (Ajzen & Fishbein 1980). Whereas this theory program has been used in many substantive fields, it has rarely been applied to the problem of interviewer effects and response sets. In this approach one assumes that the actors in interview situations decide according to cost-benefit calculations. The theory of reasoned action is viewed as an operationalized theory, discussed in more detail and formalized via structural equation models. These models are empirically tested with the data of a survey specifically designed to perform such a method study. The reported contact rates of German with foreigners is the dependent variable under study. First, a model without interviewer variables is tested to explain respondent behavior in terms of norms, attitudes and some other determinants. Then the status and the age of interviewers are introduced as situational determinants of the respondents' behavior. For subgroup analyses the respondents are divided into three groups varying in the amount of the need for social approval. The models are tested according to two subgroups (low and high need for social approval) with the technique of multiple group comparison in LISREL (Jöreskog/Sörbom 1988). All models and results are interpreted in terms of the theory of reasoned action. At the end some conclusions for modelling interviewer effects and respondent behavior are discussed.     

Distance and academic performance in higher education

This paper examines whether one of the determinants of academic performance in higher education is the geographical distance separating the place of study and the place of family residence. Twelve years of data on students from a public university are utilized to estimate a model of relative academic performance, with an instrumental variables two-stage least squares estimator to account for possible endogeneity bias. The results indicate that distance is a negative determinant of academic performance and provide a new factor to take into account in reflexions over the impact of the spatial organization of higher education institutions.     

Evaluating job-search programs for old and young individuals: Heterogeneous impact on unemployment duration

This paper exploits an area-based pilot experiment to identify average treatment effects on unemployment duration of treated individuals of two active labor market programs implemented in Portugal. We focus on the short-term heterogeneous impact on two subpopulations of unemployed individuals: young (targeted by the Inserjovem program) and old (targeted by the Reage program). We show that the latter program has a small and positive impact (reduction) on unemployment duration of workers finding a job upon participation, whereas the impact of Inserjovem is generally negative (extended durations). These results are robust to a wide variety of constructions of quasi-experimental settings and estimators. The identification of heterogeneous effects showed that the program results were less satisfactory for young workers, for those over 40 and for the less educated. Women also benefited less from the programs. The results seem to improve slightly for young workers in the 2nd semester of implementation, but they deteriorate in the medium term. The lack of wage subsidies in the Portuguese programs may explain the minor impacts obtained, when compared to similar programs.