Discrete time duration models with group-level heterogeneity

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the...

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Bibliographic Details
Published in:Journal of econometrics 2007-12, Vol.141 (2), p.1014-1043
Main Authors: Frederiksen, Anders, Honoré, Bo E., Hu, Luojia
Format: Article
Language:English
Subjects:
Applications
Covariance
Discrete choice
Duration models
Econometric models
Economic models
Empirical research
Employment duration
Estimating techniques
Estimation
Exact sciences and technology
Global analysis, analysis on manifolds
Insurance, economics, finance
Mathematics
Panel data
Parameter estimation
Probability and statistics
Sciences and techniques of general use
Statistics
Studies
Time series
Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds
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Description
Summary:Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group-specific effect in parametric and semiparametric versions of the model. The proposed method is illustrated by an empirical analysis of job durations allowing for firm-level effects.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2006.12.003