Estimating U.S. Labour Flow Statistics

Data pull script for 'Uncertainty and Labor Market Fluctuations' by Jo and Lee (2019), Federal Reserve Bank of Dallas Working Paper.

See data overview below for data used and how data are pulled for the exercise

Application

Uncertainty state estimation following Jo and Lee (2019)

Hidden Markov Model for transition probability estimation

• State-space model implementation
• Recession predictor and space estimation of labor flow

Data overview

Data	Description	Data Source	Relevant Literature
Unemployment by duration and by reason	Unemployment by duration (weeks) by reasons	BLS	-
Initial claims of unemployment insurance	Initial claims of unemployment insurance aggregated in national level	BLS/FRED	-
Employment: Part-time by reason	Part-timer employment statistics by reason (economic conditions)	BLS/FRED	-
Hours worked	Average hours worked for non-agricultural sector	BLS/FRED	-
Job finding statistics	Job finding and separation rate	CPS/JOLTS/FRED	Elsby et al. (2009)
Flow hazard rate	Flow of labor between different states	BLS/Elsby et al. (2009)	Elsby et al. (2009)
Transition probability	Probability of changing employment state/status	BLS/Borowczyk-Martins and Lalé (2019, 2020)	Borowczyk-Martins and Lalé (2019, 2020)

(a) Unemployment by duration and by reason

Data	Source	Data Pull Method	Aggregation
Unemployed less than 5 weeks	BLS/FRED	julia - FRED API	(level: UEMPLT5 / rate: LNS13008397)
Unemployed for 5 to 14 weeks	BLS/FRED	julia - FRED API	(level: UEMP5TO14 / rate: LNS13025701)
Unemployed for 15 weeks and over	BLS/FRED	julia - FRED API	(level: UEMP15OV / rate: U1RATE)
Average duration of unemployment	BLS/FRED	julia - FRED API	(level: UEMPMEAN)

For those with specific reasons, as a percent of total unemployed,

Data	Source	Data Pull Method	Aggregation
Job losers on layoff	BLS/FRED	julia - FRED API	(rate: LNS13023654)
Job losers not on layoff	BLS/FRED	julia - FRED API	(rate: LNS13026511)
Job leaver	BLS/FRED	julia - FRED API	(rate: LNS13023706)
Re-entrants	BLS/FRED	julia - FRED API	(rate: LNS13023558)
New entrants	BLS/FRED	julia - FRED API	(rate: LNS13023570)

For those with unemployed less than 5 weeks, specifically,

Data	Source	Data Pull Method	Aggregation
Job loser	BLS	julia - BLS API	(level: LNU03023633)
Job leaver	BLS	julia - BLS API	(level: LNU03023717)
Re-entrants	BLS	julia - BLS API	(level: LNU03023581)
New entrants	BLS	julia - BLS API	(level: LNU03023585)

(b) Initial claims of unemployment insurance

Data	Source	Data Pull Method	Aggregation
Job losers on layoff	BLS/FRED	julia - FRED API	(rate: ICSA)

(c) Employment: Part-time by reason

Part-time employment count in non-agricultural sector, for,

Data	Source	Data Pull Method	Aggregation
Economic reason	julia - FRED API	(level: LNS12032197)
Non-Economic reasons	julia - FRED API	(level: LNS12033182)

(d) Hours worked for part-time workers

For non-agricultural part-time workers,

| Average hours worked | BLS | julia - BLS API | (level: LNU02033235) |

(e) Job finding statistics

(f) Flow hazard rate

(g) Transition probability