Job Durations with Worker and Firm Specific Effects: MCMC Estimation with Longitudinal Employer-Employee Data

30 Pages Posted: 2 Mar 2009

See all articles by Guillaume Horny

Guillaume Horny

Banque de France

Rute Mendes

University of Turin

Gerard J. van den Berg

VU University Amsterdam - Department of Economics; Centre for Economic Policy Research (CEPR); IZA Institute of Labor Economics; Tinbergen Institute

Abstract

We study job durations using a multivariate hazard model allowing for worker-specific and firm-specific unobserved determinants. The latter are captured by unobserved heterogeneity terms or random effects, one at the firm level and another at the worker level. This enables us to decompose the variation in job durations into the relative contribution of the worker and the firm. We also allow the unobserved terms to be correlated. For the empirical analysis we use a Portuguese longitudinal matched employer-employee data set. The model is estimated with a Bayesian Markov Chain Monte Carlo (MCMC) estimation method. The results imply that firm characteristics explain around 30% of the variation in log job durations. In addition, we find a positive correlation between unobserved worker and firm characteristics.

Keywords: job transitions, assortative matching, Gibbs sampling, frailties, dynamic models, matched employer-employee data

JEL Classification: C11, C15, C41, J20, J41, J62

Suggested Citation

Horny, Guillaume and Mendes, Rute and van den Berg, Gerard J., Job Durations with Worker and Firm Specific Effects: MCMC Estimation with Longitudinal Employer-Employee Data. IZA Discussion Paper No. 3992. Available at SSRN: https://ssrn.com/abstract=1351156

Guillaume Horny (Contact Author)

Banque de France ( email )

Paris
France

Rute Mendes

University of Turin ( email )

Via Po 53
Torino, Turin - Piedmont 10100
Italy

HOME PAGE: http://www.tinbergen.nl/~mendes/

Gerard J. Van den Berg

VU University Amsterdam - Department of Economics ( email )

De Boelelaan 1105
1081 HV Amsterdam
Netherlands
+31 20 444 6132 (Phone)
+32 20 444 6020 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Tinbergen Institute

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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