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Estimation Methods for Duration Models

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  • Brian P. McCall

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  • John J. McCall

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Abstract

This paper is a selected overview of econometric methods for duration models and will appear in the forthcoming book The Economics of Search by the authors. The focus of the paper is on martingale methods for continuous time data and general methods for the analysis of discretetime data including multi-spell models and general life-history models.

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File URL: http://www.legacy-irc.csom.umn.edu/RePEC/hrr/papers/0205.pdf
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Paper provided by Human Resources and Labor Studies, University of Minnesota (Twin Cities Campus) in its series Working Papers with number 0205.

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Handle: RePEc:hrr:papers:0205

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  1. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
  2. McCall, Brian P., 1994. "Specification diagnostics for duration models : A martingale approach," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 293-312.
  3. Bruce D. Meyer, 1991. "Unemployment Insurance And Unemployment Spells," NBER Working Papers 2546, National Bureau of Economic Research, Inc.
  4. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
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