My paper proposes a new method to estimate duration models. In particular, it shows that the integrated hazard yields moment functions that solve the following, recognized estimation problems: 1. Van den Berg notes in the forthcoming Handbook of Econometrics that we need panel data for robust inference, but lack estimation methods for censored data. The integrated hazard provides a consistent estimator that converges at rate root N and thereby solves this estimation problem. 2. Honore (1993) argues that regressors can be endogenous in the sense that they may depend on the length of previous spells. The integrated hazard yields the first duration estimator that is consistent for endogenous regressors; it thereby allows distinguishing between state dependence and heterogeneity. 3. Chamberlain (1985) notes that all the fixed effect estimators require multiple spells for all observations; the integrated hazard method only needs multiple spells for some observations. This generalization dramatically increases the number of datasets that can be used for duration analysis. Moreover, the concept of the integrated hazard can be used to estimate the baseline hazard nonparametrically while allowing for individual specific effects. The paper also derives a new semiparametric matching estimator. By demonstrating that the integrated hazard solves recognized estimation problems I show that it is a very powerful tool for estimation.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
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.)