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Heterogeneite non observee dans les modeles de duree

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Author Info
Guillaume, HORNY

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Abstract

Cet article est une revue de la littŽrature o le temps passŽ dans un Žtat est une variable alŽatoire issue dÕun mŽlange continu de distributions. Elle sÕest constituŽe ˆ partir de lÕestimation de fonctions de hasards et de mŽthodes dÕapproximations dÕintŽgrales. Nous prŽsentons dÕabord le modle de mŽlange de hasards proprotionnels et ses propriŽtŽs. Les consŽquences des principaux rŽsultats dÕidentification sont ensuite discutŽes. Nous prŽsentons ensuite des mŽthodes dÕestimations paramŽtriques, semi-paramŽtriques et bayŽsiennes, ainsi que les mŽthodes dÕoptimisation correspondantes.

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File URL: http://sites.uclouvain.be/econ/DP/IRES/2007-46.pdf
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Publisher Info
Paper provided by Université catholique de Louvain, Département des Sciences Economiques in its series Discussion Papers (ECON - Département des Sciences Economiques) with number 2007046.

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Length: 31
Date of creation: 20 Dec 2007
Date of revision:
Handle: RePEc:ctl:louvec:2007046

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Related research
Keywords: modles de durŽe; hasards proportionnels; vraisemblance pŽnalisŽe; vraisemblance partielle; mŽthodes bayŽsiennes;

Find related papers by JEL classification:
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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