Instrumental variable estimation for duration data

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Instrumental variable estimation for duration data

Author Info

Bijwaard, G.E. (Erasmus Econometric Institute)

Additional information is available for the following registered author(s):

Govert Ewout Bijwaard

Abstract

In this article we focus on duration data with an endogenous variable for which an instrument is available. In duration analysis the covariates and/or the effect of the covariates may vary over time. Another complication of duration data is that they are usually heavy censored. The hazard rate is invariant to censoring. Therefore, a natural choice is to model the hazard rate instead of the mean. We develop an Instrumental Variable estimation procedure for the Generalized Accelerated Failure Time (GAFT) model. The GAFT model is a duration data model that encompasses two competing approaches to such data; the (Mixed) Proportional Hazard (MPH) model and the Accelerated Failure Time (AFT) model. We discuss the large sample properties of this Instrumental Variable Linear Rank (IVLR) estimation based on counting process theory. We show that choosing the right weight function in the IVLR can improve its efficiency. We discuss the implementation of the estimator and apply it to the Illinois re-employment bonus experiment.

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Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number EI 2007-14 Revision_Date: 2009-07-29.

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Date of creation: 24 Apr 2007
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Handle: RePEc:dgr:eureir:1765009779

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Paper
- Govert E. Bijwaard, 2008. "Instrumental Variable Estimation for Duration Data," Tinbergen Institute Discussion Papers 08-032/4, Tinbergen Institute. [Downloadable!]
- G.E. Bijwaard, 2002. "Instrumental variable estimation for duration data," Econometric Institute Report 291, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Bijwaard, G.E., 2002. "Instrumental variable estimation for duration data," Econometric Institute Report EI 2002-39 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

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Other versions:
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Other versions:
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Jaap Abbring & Gerard van den Berg, 2005. "Social experiments and instrumental variables with duration outcomes," IFS Working Papers W05/19, Institute for Fiscal Studies. [Downloadable!]
Other versions:
- Abbring, Jaap H & van den Berg, Gerard J, 2005. "Social experiments and intrumental variables with duration outcomes," Working Paper Series 2005:11, IFAU - Institute for Labour Market Policy Evaluation. [Downloadable!]
- Jaap H. Abbring & Gerard J. van den Berg, 2005. "Social Experiments and Instrumental Variables with Duration Outcomes," Tinbergen Institute Discussion Papers 05-047/3, Tinbergen Institute. [Downloadable!]

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