Discrete time duration models with group-level heterogeneity

Anders Frederiksen; Bo E. Honoré; Luojia Hu

doi:10.1016/j.jeconom.2006.12.003

Discrete time duration models with group-level heterogeneity

Anders Frederiksen, Bo E. Honoré, Luojia Hu

Research output: Contribution to journal › Article › peer-review

20 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 language	English (US)
Pages (from-to)	1014-1043
Number of pages	30
Journal	Journal of Econometrics
Volume	141
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2006.12.003
State	Published - Dec 2007

All Science Journal Classification (ASJC) codes

Economics and Econometrics

Keywords

Discrete choice
Duration models
Panel data

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10.1016/j.jeconom.2006.12.003

Cite this

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title = "Discrete time duration models with group-level heterogeneity",

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.",

keywords = "Discrete choice, Duration models, Panel data",

author = "Anders Frederiksen and Honor{\'e}, {Bo E.} and Luojia Hu",

note = "Funding Information: This research was supported by the National Science Foundation, the Gregory C. Chow Econometric Research Program at Princeton University, and the Danish National Research Foundation (through CAM at The University of Copenhagen and CCP at the Aarhus School of Business). We would like to thank Dante Amengual, Tiemen Woutersen and a number of seminar participants for their suggestions. Part of the material presented here was distributed as “Estimation of Discrete Time Duration Models with Grouped Data”. That paper has been retired. ",

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AU - Honoré, Bo E.

AU - Hu, Luojia

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AB - 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.

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KW - Duration models

KW - Panel data

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Discrete time duration models with group-level heterogeneity

Abstract

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