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 |
Parametric Families of Duration Distributions | 33 |
Mixture Models | 58 |
Some Important Processes | 83 |
Some Structural Transition Models | 122 |
Identifiability Issues | 145 |
Fully Parametric Inference | 159 |
Limited Information Inference | 233 |
Misspecification Analysis | 294 |
Residual Analysis | 306 |
The Gamma Function and Distribution | 327 |
| 333 | |
| 349 | |
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Common terms and phrases
allow applied assumed calculate called censoring chapter complete component conditional consider constant covariate defined density function depend derivative describe destination differentiation duration econometric effect entered equal equation error estimate event example exit expected Exponential expression fact factor figure follows Gamma generalised given gives hazard function heterogeneity identifiability implies independent inference integrated interesting interval joint known leave likelihood estimates log likelihood matrix mean method mixing distribution mixture multiple Note observed occupied occur offer optimal origin parameters partial likelihood particular path person population positive possible probability proportional provides random rank reason refer regressor respect sample shows specification spells statistic Suppose survivor function term theorem theory tion transition intensities unemployed unemployment unit variables variance variate vector wage Weibull write zero
Popular passages
Page 333 - Interaction between life history events: Nonparametric analysis for prospective and retrospective data in the presence of censoring.
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 |
| Editor | Andrew Chesher |
| Edition | illustrated, reprint, revised |
| Publisher | Cambridge University Press, 1990 |
| ISBN | 052143789X, 9780521437899 |
| Length | 352 pages |
| Subjects | › Business & Economics / Econometrics |
| Export Citation | BiBTeX EndNote RefMan |