Simple Estimation of a Duration Model with Unobserved Heterogeneity
AbstractThis paper presents a simple estimator of the shape parameter in a Weibull duration model with unobserved heterogeneity. The estimator is consistent and asymptotically normal under mild conditions, and a consistent estimator of the asymptotic variance is available. A Monte Carlo study indicates that the asymptotic distribution of the estimator provides a good approximation to the finite sample distribution. The estimation strategy can be extended to a model with regressors and to a log-logistic model with unobserved heterogeneity. The advantages of the estimator are that it is easy to calculate and that its asymptotic distribution can be derived. Copyright 1990 by The Econometric Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 58 (1990)
Issue (Month): 2 (March)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
- Jerry Hausman & Tiemen M. Woutersen, 2005.
"Estimating a semi-parametric duration model without specifying heterogeneity,"
CeMMAP working papers
CWP11/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Tiemen Woutersen & Jerry Hausman, 2005. "Estimating a Semi-Parametric Duration Model without Specifying Heterogeneity," Economics Working Paper Archive 525, The Johns Hopkins University,Department of Economics.
- Guido Imbens & Lisa Lynch, 2006.
"Re-employment probabilities over the business cycle,"
Portuguese Economic Journal,
Springer, vol. 5(2), pages 111-134, August.
- Guido W. Imbens & Lisa M. Lynch, 1993. "Re-Employment Probabilities over the Business Cycle," NBER Working Papers 4585, National Bureau of Economic Research, Inc.
- Imbens, Guido W. & Lynch, Lisa M., 2006. "Re-Employment Probabilities over the Business Cycle," IZA Discussion Papers 2167, Institute for the Study of Labor (IZA).
- Govert Bijwaard & Geert Ridder & Tiemen Woutersen, 2012.
"A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model,"
Norface Discussion Paper Series
2012035, Norface Research Programme on Migration, Department of Economics, University College London.
- Bijwaard, Govert & Ridder, Geert, 2009. "A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model," IZA Discussion Papers 4543, Institute for the Study of Labor (IZA).
- Lee, Sokbae, 2008.
"Estimating Panel Data Duration Models With Censored Data,"
Cambridge University Press, vol. 24(05), pages 1254-1276, October.
- Sokbae 'Simon' Lee, 2003. "Estimating panel data duration models with censored data," CeMMAP working papers CWP13/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Frank Gerhard & Nikolaus Hautsch, 1999.
"Volatility Estimation on the Basis of Price Intensities,"
CoFE Discussion Paper
99-19, Center of Finance and Econometrics, University of Konstanz.
- Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
- Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.
- Bo E. Honor & �ureo De Paula, 2010.
Review of Economic Studies,
Oxford University Press, vol. 77(3), pages 1138-1163.
- Nikolaus Hautsch, 1999.
"Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions,"
CoFE Discussion Paper
99-03, Center of Finance and Econometrics, University of Konstanz.
- Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, EconWPA.
- Hilary W. Hoynes & Kenneth Y. Chay & Dean Hyslop, 2004. "True State Dependence In Monthly Welfare Participation:A Nonexperimental Analysis," Working Papers 533, University of California, Davis, Department of Economics.
- James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.