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

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JournalJournal of Econometrics
DateE-pub ahead of print - 1 Apr 2010
DatePublished (current) - 1 Sep 2010
Issue number1
Volume159
Pages (from-to)1-13
Early online date1/04/10
Original languageEnglish

Abstract

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.

    Research areas

  • DURATION MODELS, unobservable heterogeneity

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