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. |
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Contents
Covariates and the Hazard Function | 21 |
Mixture Models | 58 |
Some Important Processes | 83 |
Renewal Processes | 97 |
Multiple Destinations | 106 |
The Wiener Process as a Duration Model | 118 |
A ThreeState Model of Optimal Participation | 128 |
A NonStationary Model | 136 |
Other SingleCycle Sampling Schemes | 183 |
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 |
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Common terms and phrases
applied assumed calculate called censoring chapter complete conditional consider constant covariate defined density function depend derivative destination duration econometric economic entered equal equation error estimate event example exit expected Exponential expression fact factor figure finite follows generalised given gives hazard function heterogeneity identifiability implies independent inference integrated interest interval joint known leave length likelihood function log likelihood matrix maximum mean method mixing distribution mixture multiple Note observed occupied occur offer optimal origin parameters partial likelihood particular path person population positive possible probability proportional random realisation regressor renewal respect sample shows specification spells statistic structural Suppose survivor function theorem theory tion transition intensities unemployed unemployment unit variables variance variate vector wage Weibull write zero
References to this book
Bibliographic information
| Title | The Econometric Analysis of Transition Data Issue 17 of Econometric Society Monographs Volume 17 of Econometric Society monographs in quantitative economics Volume 17 of Econometric Society publication Volume 17 of Econometric Society: Econometric Society monographs |
| Author | Tony Lancaster |
| Edition | illustrated, reprint, revised |
| Publisher | Cambridge University Press, 1990 |
| ISBN | 052143789X, 9780521437899 |
| Length | 352 pages |
| Subjects | › Business & Economics / Econometrics |
| Export Citation | BiBTeX EndNote RefMan |