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Hétérogénéité non observée dans les modèles de durée

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Author Info
Guillaume, HORNY
Abstract

Cet article est une revue de la littérature où le temps passé dans un état est une variable aléatoire issue d’un mélange continu de distributions. Elle s’est constituée à partir de l’estimation de fonctions de hasards et de méthodes d’approximations d’intégrales. Nous présentons d’abord le modèle de mélange de hasards proprotionnels et ses propriétés. Les conséquences des principaux résultats d’identification sont ensuite discutées. Nous présentons ensuite des méthodes d’estimations paramétriques, semi-paramétriques et bayésiennes, ainsi que les méthodes d’optimisation correspondantes.

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File URL: http://www.ires.ucl.ac.be/DP/IRES_DP/2007-46.pdf
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Publisher Info
Paper provided by Université catholique de Louvain, Département des Sciences Economiques in its series Université catholique de Louvain, Département des Sciences Economiques Working Paper with number 2007046.

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Length: 31
Date of creation: 01 Feb 2008
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Handle: RePEc:ctl:louvec:2007046

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Related research
Keywords: modèles de durée hasards proportionnels vraisemblance pénalisée vraisemblance partielle méthodes bayésiennes

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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This page was last updated on 2008-7-1.

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