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Simple Estimation of a Duration Model with Unobserved Heterogeneity

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  • Honore, Bo E

Abstract

This paper presents a simple estimator of the shape parameter in a Weibull duration model with unobserved heterogeneity. The estimator is consistent and asymptotically normal under mild conditions, and a consistent estimator of the asymptotic variance is available. A Monte Carlo study indicates that the asymptotic distribution of the estimator provides a good approximation to the finite sample distribution. The estimation strategy can be extended to a model with regressors and to a log-logistic model with unobserved heterogeneity. The advantages of the estimator are that it is easy to calculate and that its asymptotic distribution can be derived. Copyright 1990 by The Econometric Society.

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  • Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-473, March.
    • Handle: RePEc:ecm:emetrp:v:58:y:1990:i:2:p:453-73
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    Cited by:

    1. Chiappori, Pierre-Andre & Komunjer, Ivana, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," University of California at San Diego, Economics Working Paper Series qt4v12m2rg, Department of Economics, UC San Diego.
    2. Bijwaard Govert E. & Ridder Geert & Woutersen Tiemen, 2013. "A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 1-23, July.
    3. Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.
    4. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
    5. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, University Library of Munich, Germany.
    6. Guido Imbens & Lisa Lynch, 2006. "Re-employment probabilities over the business cycle," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 5(2), pages 111-134, August.
    7. Lee, Sokbae, 2008. "Estimating Panel Data Duration Models With Censored Data," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1254-1276, October.
    8. Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
    9. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    10. Patrick Mair & Marcus Hudec, 2009. "Multivariate Weibull mixtures with proportional hazard restrictions for dwell‐time‐based session clustering with incomplete data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(5), pages 619-639, December.
    11. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc.
    12. Hausman, Jerry A. & Woutersen, Tiemen, 2014. "Estimating a semi-parametric duration model without specifying heterogeneity," Journal of Econometrics, Elsevier, vol. 178(P1), pages 114-131.
    13. Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 1138-1163.
    14. Jerry Hausman & Tiemen Woutersen, 2014. "Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 472-496, August.
    15. Ayala, Luis & Rodriguez, Magdalena, 2007. "Barriers to employment and welfare dynamics: Evidence from Spain," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 237-257.
    16. Hilary W. Hoynes & Kenneth Y. Chay & Dean Hyslop, 2004. "True State Dependence In Monthly Welfare Participation:A Nonexperimental Analysis," Working Papers 533, University of California, Davis, Department of Economics.

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