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Semiparametric identification in duration models

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  • Andrew Chesher

    ()
    (Institute for Fiscal Studies and University College London)

Abstract

This paper explores the identifiability of ratios of derivatives of the index function in a model of a duration process in which the impact of covariates on the hazard function passes through a single index. The model allows duration and the index to appear in a nonseparable form in the hazard function and includes a latent heterogeneity term which acts multiplicatively on the hazard function. The model allows covariates to be endogenous, that is to be correlated with the heterogeneity term. Quantile invariance, local order and local rank conditions are shown to be sufficient to permit identification of ratios of derivatives of the index function. The framework constructed in this paper is suitable for the analysis of identification in panel duration models with heterogeneity.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0220.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP20/02.

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Length: 17 pp.
Date of creation: Nov 2002
Date of revision:
Handle: RePEc:ifs:cemmap:20/02

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Cited by:
  1. Andrew Chesher, 2004. "Identification of sensitivity to variation in endogenous variables," Econometric Society 2004 Australasian Meetings 353, Econometric Society.
  2. Whitney Newey & Guido Imbens, 2004. "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity," Econometric Society 2004 North American Summer Meetings 594, Econometric Society.
  3. 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 Evaluation of Labour Market and Education Policy.
  4. Chesher, Andrew, 2009. "Excess heterogeneity, endogeneity and index restrictions," Journal of Econometrics, Elsevier, vol. 152(1), pages 37-45, September.
  5. Andrew Chesher, 2005. "Identification with excess heterogeneity," CeMMAP working papers CWP19/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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