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A note on the Weibull distribution and time ag gregation bias

Author

Listed:
  • Roed,K.
  • Zhang,T.

    (University of Oslo, Department of Economics)

Abstract

The application of continuous time Weibull models on discrete unemployment duration data may result in severely biased baseline estimates. The bias can be substantial even for weekly duration data, and it is seriously aggravated if the Weibull model is erroneously mixed with a Gamma distribution for unobserved heterogeneity.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Roed,K. & Zhang,T., 2000. "A note on the Weibull distribution and time ag gregation bias," Memorandum 23/2000, Oslo University, Department of Economics.
  • Handle: RePEc:hhs:osloec:2000_023
    as

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    File URL: http://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2000/Memo-23-2000.pdf
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    References listed on IDEAS

    as
    1. Meyer, Bruce D, 1990. "Unemployment Insurance and Unemployment Spells," Econometrica, Econometric Society, vol. 58(4), pages 757-782, July.
    2. Narendranathan, W. & Stewart, M.B., 1989. "Modelling The Probability Of Leaving Unemployment: Competing Risks Models With Flexible Baseline Hazards," The Warwick Economics Research Paper Series (TWERPS) 331, University of Warwick, Department of Economics.
    3. Bergstrom, R & Edin, P-A, 1992. "Time Aggregation and the Distributional Shape of Unemployment Duration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(1), pages 5-30, Jan.-Marc.
    4. Aaberge, Rolf, 1996. "Unemployment duration models with non-stationary inflow and unobserved heterogeneity," Ricerche Economiche, Elsevier, vol. 50(2), pages 163-172, June.
    5. Knut Roed & Oddbjorn Raaum & Harald Goldstein, 1999. "Does unemployment cause unemployment? Micro evidence from Norway," Applied Economics, Taylor & Francis Journals, vol. 31(10), pages 1207-1218.
    Full references (including those not matched with items on IDEAS)

    Citations

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    as


    Cited by:

    1. Christian N. Brinch, 2011. "Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 343-350, July.
    2. repec:wly:econjl:v:127:y:2017:i:604:p:1833-1873 is not listed on IDEAS
    3. Wulfrano Gómez & Leovardo Mata & Montserrat Reyna, 2013. "Hodrick-Prescott Filter: An Extreme-Sport Testing," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 7(1), pages 1-13.
    4. Manudeep Bhuller & Christian N. Brinch & Sebastian Königs, 2017. "Time Aggregation and State Dependence in Welfare Receipt," Economic Journal, Royal Economic Society, vol. 127(604), pages 1833-1873, September.
    5. Christian N. Brinch, 2008. "Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations," Discussion Papers 539, Statistics Norway, Research Department.

    More about this item

    Keywords

    duration analysis;

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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