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

Cheti Nicoletti, Concetta Rondinelli

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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.
Original languageEnglish
Pages (from-to)1-13
JournalJournal of Econometrics
Issue number1
Early online date1 Apr 2010
Publication statusPublished - 1 Sept 2010


  • unobservable heterogeneity

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