Estimation Methods for Duration Models
This paper is a selected overview of econometric methods for duration models and will appear in the forthcoming book The Economics of Search by the authors. The focus of the paper is on martingale methods for continuous time data and general methods for the analysis of discretetime data including multi-spell models and general life-history models.
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- Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
- Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells,"
Econometric Society, vol. 58(4), pages 757-782, July.
- Bruce D. Meyer, 1988. "Unemployment Insurance And Unemployment Spells," NBER Working Papers 2546, National Bureau of Economic Research, Inc.
- Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-679, June.
- McCall, Brian P., 1994. "Specification diagnostics for duration models : A martingale approach," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 293-312.
- McCall, B.P., 1992. "Specification Diagnostics for Duration Models : A Martingale Approach," Papers 92-14, Minnesota - Industrial Relations Center.
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