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

Publication type

Conference Paper

Series

European Meeting of the Econometric Society

Authors

Publication date

August 27, 2007

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.

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