Discrete time duration models with group-level heterogeneity

Anders Frederiksen, Bo E. Honoré, Luojia Hu

Research output: Contribution to journalArticle

17 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)1014-1043
Number of pages30
JournalJournal of Econometrics
Volume141
Issue number2
DOIs
StatePublished - Dec 1 2007

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Keywords

  • Discrete choice
  • Duration models
  • Panel data

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