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Discrete time duration models with group-level heterogeneity

  • Frederiksen, Anders
  • Honore, Bo E.
  • Hu, Luojia

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 job durations allowing for firm level effects.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 141 (2007)
Issue (Month): 2 (December)
Pages: 1014-1043

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Handle: RePEc:eee:econom:v:141:y:2007:i:2:p:1014-1043
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  1. Ridder, G. & Tunali, I., 1997. "Stratified Partial Likelihood Estimation," Papers 1997/17, Koc University.
  2. Anders Frederiksen & Bo E. Honoré & Luojia Hu, 2006. "Discrete Time Duration Models with Group-level Heterogeneity," Discussion Papers 05-008, Stanford Institute for Economic Policy Research.
  3. Royalty, Anne Beeson, 1998. "Job-to-Job and Job-to-Nonemployment Turnover by Gender and Education Level," Journal of Labor Economics, University of Chicago Press, vol. 16(2), pages 392-443, April.
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  9. Abrevaya, Jason, 1999. "Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 93(2), pages 203-228, December.
  10. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
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  14. Lisa M. Lynch, 1992. "Differential Effects of Post-School Training on Early Career Mobility," NBER Working Papers 4034, National Bureau of Economic Research, Inc.
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  18. Anders Frederiksen, 2004. "Explaining Individual Job Separations in a Segregated Labor Market," Working Papers 869, Princeton University, Department of Economics, Industrial Relations Section..
  19. Honore, Bo E. & Powell, James L., 1994. "Pairwise difference estimators of censored and truncated regression models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 241-278.
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