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Mixture models in econometric duration analysis

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  • Karl Mosler

Abstract

Econometric duration analysis has become an important part of methodology in econometrics, bringing forth a plenty of applications. The probability distribution of the duration of a time span is modelled through its conditional hazard rate given the covariates. When some of the covariates are unobservable, the duration, given the observable covariates, has a mixture distribution. The paper surveys and discusses recent developments in the specification, estimation, diagnosis and economic application of proportional hazard models with unobservables. Copyright © 2003 John Wiley & Sons, Ltd.

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  • Karl Mosler, 2003. "Mixture models in econometric duration analysis," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 19(2), pages 91-104, April.
    • Handle: RePEc:wly:apsmbi:v:19:y:2003:i:2:p:91-104
    DOI: 10.1002/asmb.489
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    Cited by:

    1. Lau, John W., 2006. "Bayesian semi-parametric modeling for mixed proportional hazard models with right censoring," Statistics & Probability Letters, Elsevier, vol. 76(7), pages 719-728, April.
    2. Quiroz, Matias & Villani, Mattias, 2013. "Dynamic mixture-of-experts models for longitudinal and discrete-time survival data," Working Paper Series 268, Sveriges Riksbank (Central Bank of Sweden).

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