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Simulated maximum likelihood estimation in transition models

Author

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  • THIERRY KAMIONKA

Abstract

In this paper we analyse the problem of modelling individual transitions in the presence of an incomplete sampling scheme. This problem is particularly cumbersome when a continuous time-scale is used for the modelling and when the model incorporates unobserved heterogeneity. This problem arises, for instance, when the observation is made at fixed time points or stops on an interval of time. In order to take this phenomenon into account, we propose to maximize the simulated likelihood using an importance function. The method can be applied to general continuous-time discrete-state-space processes and a broad class of incomplete sampling schemes.

Suggested Citation

  • Thierry Kamionka, 1998. "Simulated maximum likelihood estimation in transition models," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 129-153.
  • Handle: RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c129-c153
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    Cited by:

    1. Lacroix, G & Brouard M-E, 2011. "Work Absenteeism Due to a Chronic Disease," Health, Econometrics and Data Group (HEDG) Working Papers 11/15, HEDG, c/o Department of Economics, University of York.
    2. Lechner, Michael & Lollivier, Stefan & Magnac, Thierry, 2005. "Parametric Binary Choice Models," IDEI Working Papers 398, Institut d'Économie Industrielle (IDEI), Toulouse.
    3. Nicholas-James Clavet & Jean-Yves Duclos, 2012. "Le financement des services de garde des enfants : effets sur le travail, le revenu des familles, et les finances publiques," CIRANO Working Papers 2012s-33, CIRANO.
    4. Denis Fougère & Thierry Kamionka, 2003. "Bayesian inference for the mover-stayer model in continuous time with an application to labour market transition data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 697-723.
    5. Tue Gorgens & Sanghyeok Lee, 2017. "Estimation of dynamic models of recurring events with censored data," ANU Working Papers in Economics and Econometrics 2017-655, Australian National University, College of Business and Economics, School of Economics.

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