The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study
AbstractEmpirical researchers usually prefer statistical models that can be easily estimated with the help of commonly available software packages. Sequential binary models with or without normal random effects are an example of such models that can be adopted to estimate discrete duration models with unobserved heterogeneity. But an easy-to-implement estimation may incur a cost. In this paper we conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete duration models.
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 Elsevier in its journal Journal of Econometrics.
Volume (Year): 159 (2010)
Issue (Month): 1 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Concetta Rondinelli & Cheti Nicoletti, 2009. "The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study," Temi di discussione (Economic working papers) 705, Bank of Italy, Economic Research and International Relations Area.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gaure, Simen & Røed, Knut & Zhang, Tao, 2005.
"Time and Causality: A Monte Carlo Assessment of the Timing-of-Events Approach,"
19/2005, Oslo University, Department of Economics.
- Gaure, Simen & Roed, Knut & Zhang, Tao, 2007. "Time and causality: A Monte Carlo assessment of the timing-of-events approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1159-1195, December.
- Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells,"
Econometric Society, vol. 58(4), pages 757-82, July.
- Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Wiley Blackwell, vol. 49(3), pages 403-09, July.
- Jaap H. Abbring & Gerard J. Van Den Berg, 2007.
"The unobserved heterogeneity distribution in duration analysis,"
Biometrika Trust, vol. 94(1), pages 87-99.
- Abbring, Jaap H & van den Berg, Gerard J, 2007. "The Unobserved Heterogeneity Distribution in Duration Analysis," CEPR Discussion Papers 6219, C.E.P.R. Discussion Papers.
- Jaap H. Abbring & Gerard J. van den Berg, 2006. "The Unobserved Heterogeneity Distribution in Duration Analysis," Tinbergen Institute Discussion Papers 06-059/3, Tinbergen Institute.
- Robert A. Moffitt & Peter Gottschalk, 2002. "Trends in the Transitory Variance of Earnings in the United States," Economic Journal, Royal Economic Society, vol. 112(478), pages C68-C73, March.
- Van den Berg, Gerard J., 2000.
"Duration Models: Specification, Identification, and Multiple Durations,"
9446, University Library of Munich, Germany.
- Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
- Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics.
- Sueyoshi, Glenn T, 1995. "A Class of Binary Response Models for Grouped Duration Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 411-31, Oct.-Dec..
- Narendranathan, W & Stewart, Mark B, 1993. "How Does the Benefit Effect Vary as Unemployment Spells Lengthen?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 361-81, Oct.-Dec..
- Brinch, Christian N., 2007. "Nonparametric Identification Of The Mixed Hazards Model With Time-Varying Covariates," Econometric Theory, Cambridge University Press, vol. 23(02), pages 349-354, April.
- Michael Baker & Angelo Melino, 1999.
"Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study,"
melino-99-01, University of Toronto, Department of Economics.
- Baker, Michael & Melino, Angelo, 2000. "Duration dependence and nonparametric heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 96(2), pages 357-393, June.
- Huh, Keun & Sickles, Robin C, 1994. "Estimation of the Duration Model by Nonparametric Maximum Likelihood, Maximum Penalized Likelihood, and Probability Simulators," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 683-94, November.
- Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July.
- Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
- Hess , Wolfgang & Schwarzkopf , Larissa & Hunger , Matthias & Holle , Rolf, 2013. "Competing-Risks Duration Models with Correlated Random Effects: An Application to Dementia Patients’ Transition Histories," Working Papers 2013:28, Lund University, Department of Economics.
- Hess, Wolfgang & Persson, Maria, 2010.
"The Duration of Trade Revisited. Continuous-Time vs. Discrete-Time Hazards,"
2010:1, Lund University, Department of Economics.
- Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited: Continuous-Time vs. Discrete-Time Hazards," Working Paper Series 829, Research Institute of Industrial Economics.
- Bontemps, Christophe & Bouamra-Mechemache, Zohra & Simioni, Michel, 2012.
"Quality Labels and Firm Survival in the French Cheese Industry,"
IDEI Working Papers
741, Institut d'Économie Industrielle (IDEI), Toulouse.
- Bontemps, Christophe & Bouamra-Mechemache, Zohra & Simioni, Michel, 2012. "Quality Labels and Firm Survival in the French Cheese Industry," TSE Working Papers 12-335, Toulouse School of Economics (TSE).
- Cain Polidano & Domenico Tabasso & Yi-Ping Tseng, 2012.
"A Second Chance at Education for Early School Leavers,"
Melbourne Institute Working Paper Series
wp2012n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Polidano, Cain & Tabasso, Domenico & Tseng, Yi-Ping, 2012. "A Second Chance at Education for Early School Leavers," IZA Discussion Papers 6769, Institute for the Study of Labor (IZA).
- Stirbat, Liviu & Record, Richard & Nghardsaysone, Konesawang, 2013. "Determinants of export survival in the Lao PDR," Policy Research Working Paper Series 6301, The World Bank.
- Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
- Concetta Rondinelli & Arnstein Aassve & Francesco Billari, 2010. "Women´s wages and childbearing decisions: Evidence from Italy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 22(19), pages 549-578, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.