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Heterogeneite non observee dans les modeles de duree

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  • 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.

Suggested Citation

  • Guillaume, HORNY, 2007. "Heterogeneite non observee dans les modeles de duree," Discussion Papers (ECON - Département des Sciences Economiques) 2007046, Université catholique de Louvain, Département des Sciences Economiques.
    • Handle: RePEc:ctl:louvec:2007046
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    File URL: http://sites.uclouvain.be/econ/DP/IRES/2007-46.pdf
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    More about this item

    Keywords

    modèles de durée; hasards proportionnels; vraisemblance pénalisée; vraisemblance partielle; méthodes bayésiennes;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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