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Estimation of competing risks duration models with unobserved heterogeneity using hsmlogit

Author

Listed:
  • David Troncoso-Ponce

    (Área de Análisis Económico. Departamento de Economía, Métodos Cuantitativos e Historia Económica. Universidad Pablo de Olavide.)

Abstract

This article presents hsmlogit, a new Stata command that estimates multispells discrete time competing risks duration models with unobserved heterogeneity. hsmlogit allows for the estimation of one, two and up to three competing risks, as well as a maximum of ve points of support for the identication of unobserved heterogeneity distribution (Heckman and Singer, 1984). The main contribution of hsmlogit is that allows for exploiting the richness of large longitudinal micro datasets, by estimating competing risks duration models, instead of one-risk models (such as hshaz and hshaz2), as well as it takes into account the presence of unobserved heterogeneity affecting transition rates. In addition to this, and taking into account the larger size of longitudinal micro datasets used for the estimation of discrete time duration models, hsmlogit also provides the algebraic expressions of both rst and second order derivatives that, respectively, dene the gradient vector and Hessian matrix, which signicantly reduce time required to achieve model convergence.

Suggested Citation

  • David Troncoso-Ponce, 2018. "Estimation of competing risks duration models with unobserved heterogeneity using hsmlogit," Working Papers 18.03, Universidad Pablo de Olavide, Department of Economics.
    • Handle: RePEc:pab:wpaper:18.03
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    References listed on IDEAS

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    6. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460, Elsevier.
    7. Lancaster,Tony, 1992. "The Econometric Analysis of Transition Data," Cambridge Books, Cambridge University Press, number 9780521437899, November.
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    More about this item

    Keywords

    Duration analysis; Unobserved heterogeneity; d2 ml method; hshaz; hshaz2; hsmlogit; Hessian matrix; Multinomial Logit; Competing risks; Stata.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
    • J68 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Public Policy

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