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Research Paper Banca d'Italia Temi di discussione 705

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

Authors

Publication date

07 Mar 2009

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.

Links

http://www.bancaditalia.it/pubblicazioni/econo/temidi


Related publications

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

    Cheti Nicoletti and Concetta Rondinelli

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

    Cheti Nicoletti and Concetta Rondinelli

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

    Cheti Nicoletti and Concetta Rondinelli

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