TY - JOUR
T1 - The (mis)specification of discrete duration models with unobserved heterogeneity
T2 - A Monte Carlo study
AU - Nicoletti, Cheti
AU - Rondinelli, Concetta
PY - 2010/9/1
Y1 - 2010/9/1
N2 - Empirical researchers usually prefer statistical models that can be easily estimated with the help of commonly available software packages. Sequential binary models with or without normal random effects are an example of such models that can be adopted to estimate discrete duration models with unobserved heterogeneity. But an easy-to-implement estimation may incur a cost. In this paper we conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete duration models.
AB - Empirical researchers usually prefer statistical models that can be easily estimated with the help of commonly available software packages. Sequential binary models with or without normal random effects are an example of such models that can be adopted to estimate discrete duration models with unobserved heterogeneity. But an easy-to-implement estimation may incur a cost. In this paper we conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete duration models.
KW - DURATION MODELS
KW - unobservable heterogeneity
UR - http://www.scopus.com/inward/record.url?scp=77952132871&partnerID=8YFLogxK
U2 - 10.1016/j.jeconom.2010.04.003
DO - 10.1016/j.jeconom.2010.04.003
M3 - Article
SN - 0304-4076
VL - 159
SP - 1
EP - 13
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -