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 using standard software packages. One such model is the sequential binary model with or without normal random effects; such models can be adopted to estimate discrete duration models with unobserved heterogeneity. But ease of estimation may come at 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 InfoPaper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 705.
Date of creation: Mar 2009
Date of revision:
discrete duration models; unobserved heterogeneity; Monte Carlo simulations;
Other versions of this item:
- 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.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-05 (All new papers)
- NEP-CMP-2009-04-05 (Computational Economics)
- NEP-ECM-2009-04-05 (Econometrics)
- NEP-ORE-2009-04-05 (Operations Research)
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