The (Mis)Specification of Discrete Time Duration Models with Unobserved Heterogeneity: a Monte Carlo study

Publication type

Journal Article

Authors

Publication date

September 13, 2010

Abstract:

The most popular statistical models among empirical researchers are usually the ones which can be easily estimated by using commonly available software packages. Sequential binary models with or without normal random effects are an example of such models, because they can be adopted to estimate discrete time duration models in presence of unobserved heterogeneity.

But an easy-to-implement estimation may incur a cost. In this paper we use Monte Carlo methods to analyze the consequences of omission or misspecification of unobserved heterogeneity in single spell discrete time duration models.

Published in

Journal of Econometrics

Volume and page numbers

Volume: 159 , p.1 -13

ISSN

3044076

Link

- http://jae.wiley.com/

---

Related Publications

• The (mis)specification of discrete time duration models with unobserved heterogeneity: a Monte Carlo study

  Cheti Nicoletti, Concetta Rondinelli,

  Research Paper - 20090307

• The (Mis)Specification of Discrete Time Duration Models with Unobserved Heterogeneity: a Monte Carlo study

  Cheti Nicoletti, Concetta Rondinelli,

  Conference Paper - 20070827

• The (mis)specification of discrete time duration models with unobserved heterogenity: a Monte Carlo study

  Cheti Nicoletti, Concetta Rondinelli,

  ISER Working Paper Series - 20061102

#519323