Estimation of the Duration Model by Nonparametric Maximum Likelihood, Maximum Penalized Likelihood, and Probability Simulators
AbstractFailure to properly treat heterogeneity components in longitudinal analyses can result in an incorrect parametrization of the duration model. Estimation bias is not limited to duration dependence but also extends to the structural parameters. This paper uses Monte Carlo methods to examine the finite sample behavior of three estimators for this problem: nonparametric maximum likelihood, maximum penalized likelihood, and the probability simulator. The authors' results on the estimators' finite sample behavior for this class of model add to limited experimental evidence. They highlight the estimators' computational feasibility and point to their relative strengths in empirical duration modeling. Copyright 1994 by MIT Press.
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.
Bibliographic InfoArticle provided by MIT Press in its journal Review of Economics & Statistics.
Volume (Year): 76 (1994)
Issue (Month): 4 (November)
Contact details of provider:
Web page: http://mitpress.mit.edu/journals/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Kalwij, Adriaan, 2001. "Individuals' Unemployment Durations over the Business Cycle," IZA Discussion Papers 369, Institute for the Study of Labor (IZA).
- 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.
- Raquel Carrasco & J. Ignacio García Pérez, 2012.
"Economic Conditions and Employment Dynamics of Immigrants versus Natives: Who Pays the Costs of the “Great Recession”?,"
12.13, Universidad Pablo de Olavide, Department of Economics.
- Raquel Carrasco & J. Ignacio García Pérez, 2012. "Economic Conditions and Employment Dynamics of Immigrants versus Natives: Who Pays the Costs of the "Great Recession"?," Economics Working Papers we1232, Universidad Carlos III, Departamento de Economía.
- Xiaohong Chen & James J. Heckman & Edward Vytlacil, 2000. "Identification and SQRT N Efficient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor," Econometric Society World Congress 2000 Contributed Papers 1567, Econometric Society.
- Nicoletti, Cheti & Rondinelli, Concetta, 2010.
"The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study,"
Journal of Econometrics,
Elsevier, vol. 159(1), pages 1-13, November.
- 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.
- Robin C. Sickles & Jenny Williams, 1999.
"Turning from Crime: A Dynamic Perspective,"
School of Economics Working Papers
1999-08, University of Adelaide, School of Economics.
- Bloemen, H.G. & Kalwij, A.S., 1996. "Female Employment and Timing of Births Decisions: A Multiple State Transition Model," Discussion Paper 1996-26, Tilburg University, Center for Economic Research.
- 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.
- 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.
- George Neumann, 1996. "Search Models and Duration Data," Econometrics 9602008, EconWPA, revised 07 Mar 1996.
- Bloemen, Hans & Kalwij, Adriaan S., 2001. "Female labor market transitions and the timing of births: a simultaneous analysis of the effects of schooling," Labour Economics, Elsevier, vol. 8(5), pages 593-620, December.
- Kalwij, Adriaan, 2001. "Individuals' Unemployment Experiences: Heterogeneity and Business Cycle Effects," IZA Discussion Papers 370, Institute for the Study of Labor (IZA).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karie Kirkpatrick).
If references are entirely missing, you can add them using this form.