Simplified estimation of multivariate duration models with unobserved heterogeneity
A simple structure is suggested for modelling unobserved heterogeneity in multivariate duration models which avoids the "curse of dimensionality" and numerical integration of the likelihood function. This structure can be applied to many retirement and aging decisions including: time to retirement between spouses, financial planning, and health related retirement decisions.
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Volume (Year): 22 (2007)
Issue (Month): 1 (April)
Pages: 17-29
| Handle: | RePEc:spr:compst:v:22:y:2007:i:1:p:17-29 |
| Contact details of provider: | Web page: http://www.springer.com
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| Order Information: | Web: http://www.springer.com/statistics/journal/180/PS2 |
References listed on IDEAS
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- Colby, Gordana & Rilstone, Paul, 2004. "Nonparametric Identification Of Latent Competing Risks Models," Econometric Theory, Cambridge University Press, vol. 20(05), pages 883-890, October.
- Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells,"
Econometrica,
Econometric Society, vol. 58(4), pages 757-82, July.
- Bruce D. Meyer, 1988. "Unemployment Insurance And Unemployment Spells," NBER Working Papers 2546, National Bureau of Economic Research, Inc.
- Heckman, James J & Honore, Bo E, 1990. "The Empirical Content of the Roy Model," Econometrica, Econometric Society, vol. 58(5), pages 1121-49, September.
- Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
- Söderberg, Hans & Lyhagen, Johan, 1999. "Testing for Independence in Multivariate Duration Models," SSE/EFI Working Paper Series in Economics and Finance 302, Stockholm School of Economics.
- Butler, J S & Anderson, Kathryn H & Burkhauser, Richard V, 1989. "Work and Health after Retirement: A Competing Risks Model with Semiparametric Unobserved Heterogeneity," The Review of Economics and Statistics, MIT Press, vol. 71(1), pages 46-53, February.
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