A major issue in the analysis of unemployment durations concerns
distinguishing genuine duration dependence of the exit rate out of
unemployment from unobserved heterogeneity. We present a method for the
nonparametric estimation of both phenomena, designed to be applicable to
time-series data on aggregate outflows from different duration classes.
The model explicitly takes into account that individual exit rates are
affected by the business cycle and by seasonal effects. The method is
applied to U.S. data. We find diverging duration effects among black and
white individuals. However, except for white males, duration dependence
is dominated by unobserved heterogeneity.