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The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study

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  • Nicoletti, Cheti
  • Rondinelli, Concetta

Abstract

Empirical 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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 159 (2010)
Issue (Month): 1 (November)
Pages: 1-13

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Handle: RePEc:eee:econom:v:159:y:2010:i:1:p:1-13

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Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
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  3. 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.
  4. 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.
  5. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-82, July.
  6. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July.
  7. 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..
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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..
  13. 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.
  14. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
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Cited by:
  1. Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited. Continuous-Time vs. Discrete-Time Hazards," Working Papers 2010:1, Lund University, Department of Economics.
  2. 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).
  3. Stirbat, Liviu & Record, Richard & Nghardsaysone, Konesawang, 2013. "Determinants of export survival in the Lao PDR," Policy Research Working Paper Series 6301, The World Bank.
  4. 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.
  5. Mircea Trandafir, 2009. "The effect of same-sex marriage laws on different-sex marriage: Evidence from The Netherlands," Cahiers de recherche 09-23, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised Feb 2012.
  6. 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.
  7. Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
  8. 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).

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