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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