Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modeling Sample Selection for Durations with Time-Varying Covariates, With an Application to the Duration of Exchange Rate Regimes

Contents:

Author Info

  • Frederick J. Boehmke
  • Chris Meissner

    (Department of Economics, University of California Davis)

Abstract

We extend existing estimators for duration data that suffer from non-random sample selection to allow for time-varying covariates. Rather than a continuous-time duration model, we propose a discrete-time alternative that models the effects of sample selection at the time of selection across all subsequent years of the resulting spell. Properties of the estimator are compared to those of a naive discrete duration model through Monte Carlo analysis and indicate that our estimator outperforms the naive model when selection is non-trivial. We then apply this estimator to the question of the duration of monetary regimes and find evidence that ignoring selection into pegs leads to faulty inferences.

Download Info

If 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.
File URL: http://wp.econ.ucdavis.edu/09-22.pdf
Our checks indicate that this address may not be valid because: 500 Can't connect to wp.econ.ucdavis.edu:80 (10060). If this is indeed the case, please notify (Scott Dyer)
Download Restriction: no

Bibliographic Info

Paper provided by University of California, Davis, Department of Economics in its series Working Papers with number 922.

as in new window
Length: 33
Date of creation: 30 Sep 2009
Date of revision:
Handle: RePEc:cda:wpaper:09-22

Contact details of provider:
Postal: One Shields Ave., Davis, CA 95616-8578
Phone: (530) 752-0741
Fax: (530) 752-9382
Email:
Web page: http://www.econ.ucdavis.edu
More information through EDIRC

Related research

Keywords: exchange rates; de facto regimes; duration; selection models; monetary policy;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cda:wpaper:09-22. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Scott Dyer).

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.