The Econometric Analysis of Transition DataThis book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data. |
Contents
Some Important Processes | 3 |
Covariates and the Hazard Function | 21 |
Some Structural Transition Models | 56 |
Mixture Models | 58 |
121 | 88 |
A ThreeState Model of Optimal Participation | 128 |
A NonStationary Model | 136 |
Identifiability Issues | 145 |
Unmeasured Heterogeneity in SingleCycle Data | 194 |
Multiple CycleFlow Data | 208 |
Other MultipleCycle Sampling Schemes | 215 |
Limited Information Inference | 233 |
Misspecification Analysis | 294 |
Residual Analysis | 306 |
The Gamma Function and Distribution | 327 |
Bibliography | 333 |
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Common terms and phrases
asymptotic chapter completed durations conditional hazard constant continuous-time covariate path defined denoted depend differentiation duration data duration distributions duration of stay econometric econometricians economic elapsed duration entrants equation error event example Exponential distribution finite functional form Gamma Gamma distribution generalised given gives Gm(t hazard function identifiability independent inference integrated hazard interval Laplace transform leave likelihood function linear log likelihood Lorenz curve Markov chain maximise maximum likelihood estimator mean mixing distribution mixture model multiple destinations notation observed optimal partial likelihood person piecewise-constant Poisson process probability density function probability of exit proportional hazard model random variable realisation regression regressor variables regressor vector renewal process right censored specification spell statistic stochastic structural model Suppose survivor function t₁ T₂ term theorem theory time-invariant time-varying covariates tion transition intensities unemployed unit Exponential unmeasured heterogeneity variance Weibull model Wiener process z₁ Z₂ zero