A duration model based on the time on Unemployment Insurance (UI) benefits instead of a model based on the time till re-employment is more relevant from a cost-benefit perspective. The contribution of this paper is to extend the standard (mixed) Proportional Hazard model to account for an upper...

In this article we propose and implement an instrumental variable estimation procedure to obtain treatment effects on duration outcomes. The method can handle the typical complications that arise with duration data of time-varying treatment and censoring. The treatment effect we define is in...

In this article we focus on duration data with an endogenous variable for which an instrument is available. In duration analysis the covariates and/or the effect of the covariates may vary over time. Another complication of duration data is that they are usually heavy censored. The hazard rate...

In this empirical paper we assess how labour market transitions and out- and repeat migration of immigrants are interrelated. We estimate a multi-state multiple spell competing risks model with four states: employed, unemployed receiving benefits, out-of-the-labour market (no benefits) and...

In this paper we analyze the demographic factors that influence the return and repeated migration of immigrants. Using longitudinal data from Statistics Netherlands we track migration histories of recent immigrants to The Netherlands and analyze which migrants will stay in the country, which...

In this paper we analyze the demographic factors that influence the migration dynamics of recent immigrants to The Netherlands. We show how we can allow for both permanent and temporary migrants. Based on data from Statistics Netherlands we analyze both the departure and the return from abroad...

An issue hardly ever mentioned in the analysis of labour market transitions is that for some individuals labour market transitions occur at a very low rate. Therefore, these individuals might stay on disability benefits or in domestic care till they reach the retirement age of 65. This implies...

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

This paper demonstrates that the class of conditionally linear and Gaussian state-space models offers a general and convenient framework for simultaneously handling nonlinearity, structural change and outliers in time series. Many popular nonlinear time series models, including threshold, smooth...