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Estimation of Discrete Time Duration Models with Grouped Data

Author

Listed:
  • Bo E. Honoré

    (Department of Economics, Princeton University)

  • Luojia Hu

    (Department of Economics, Northwestern University)

Abstract

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group specific effect in parametric and semiparametric versions of the model. The proposed method is illustrated by an empirical analysis of child mortality allowing for family specific effects.

Suggested Citation

  • Bo E. Honoré & Luojia Hu, 2004. "Estimation of Discrete Time Duration Models with Grouped Data," CAM Working Papers 2004-07, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    • Handle: RePEc:kud:kuieca:2004_07
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    File URL: http://www.econ.ku.dk/cam/wp0910/wp0203/2004-07.pdf/
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    Cited by:

    1. Luc Aucremanne & Emmanuel Dhyne, 2005. "Time-dependent versus State-dependent Pricing: A Panel Data Approach to the Determinants of Belgian Consumer Price Changes," Working Paper Research 66, National Bank of Belgium.
    2. Jonathan L. Willis, 2006. "Magazine prices revisited," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 337-344.

    More about this item

    Keywords

    Panel Data; Discrete Choice; Duration Models;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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