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Bayesian Estimation of Duration Models: An Application of the Multiperiod Probit Model

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  • Campolieti, Michele

Abstract

The multiperiod probit model is presented and Bayesian estimation using the Gibbs sampler with data augmentation is described. As an empirical illustration, the multiperiod probit model is then used to estimate a duration model using employment duration data for the Canadian province of New Brunswick. Bayesian estimation with unobserved heterogeneity is shown to be a simple extension of estimation of a duration model with no unobserved heterogeneity. More importantly, perhaps, some numerical problems encountered by other authors using Maximum Likelihood are avoided.

Suggested Citation

  • Campolieti, Michele, 1997. "Bayesian Estimation of Duration Models: An Application of the Multiperiod Probit Model," Empirical Economics, Springer, vol. 22(3), pages 461-480.
    • Handle: RePEc:spr:empeco:v:22:y:1997:i:3:p:461-80
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    Cited by:

    1. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53.
    2. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53, January.

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