[Forum SIS] Avviso di seminario - Prof. Jesus Carro, Universidad Carlos III de Madrid

[Maria Giovanna Ranalli]

.: Prof. Jesus Carro, Universidad Carlos III de Madrid :.
.: Dynamic binary outcome models with maximal heterogeneity :.

Giovedi, 17 Dicembre, ore 12
Dipartimento di Economia, Finanza e Statistica, Aula 101
Università degli Studi di Perugia

Abstract.
Most econometric schemes to allow for heterogeneity in micro behaviour
have two drawbacks: they do not fit the data and they rule out
interesting economic models. In this paper we consider the time
homogeneous first order Markov (HFOM) model that allows for maximal
heterogeneity. That is, the modelling of the heterogeneity does not
impose anything on the data (except the HFOM assumption for each
agent) and it allows for any theory model (that gives a HFOM process
for an individual observable variable). `Maximal' means that the joint
distribution of initial values and the transition probabilities is
unrestricted.
We establish necessary and sufficient conditions for the point
identification of our heterogeneity structure and show how it depends
on the length of the panel. A feasible ML estimation procedure is
developed. Tests for a variety of subsidiary hypotheses such as the
assumption that marginal dynamic effects are homogeneous are
developed.
We apply our techniques to a long panel of Danish workers who are very
homogeneous in terms of observables. We show that individual
unemployment dynamics are very heterogeneous, even for such a
homogeneous group. We also show that the impact of cyclical variables
on individual unemployment probabilities differs widely across
workers. Some workers have unemployment dynamics that are independent
of the cycle whereas others are highly sensitive to macro shocks.


Tutti gli interessati sono invitati a partecipare
Cordiali saluti

M. Giovanna Ranalli

~ Dipartimento di Economia, Finanza e Statistica
~ Sezione di Statistica
~ Via Pascoli
~ 06123 Perugia - Italy

~ Tel +39 075 5855939
~ Fax +39 075 5855950
~ url: www.stat.unipg.it/~giovanna

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://www.stat.unipg.it/pipermail/sis/attachments/20091209/d2c64f69/attachment.html>