This paper proposes a hidden state Markov model (HMM) that incorporates workers’ unobserved labor market attachment into the analysis of labor market dynamics. Unlike previous literature, which ...

Hamilton's nonlinear Markovian filter is extended to allow state transitions to be duration dependent. Restrictions are imposed on the state transition matrix associated with a τ-order Markov system ...

Non-parametric estimation of the transition probabilities in multi-state models is considered for non-Markov processes. Firstly, a generalization of the estimator of Pepe et al., (1991) (Statistics in ...