The Econometric Analysis of Transition Data
This 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.
What people are saying - Write a review
We haven't found any reviews in the usual places.
Covariates and the Hazard Function
Parametric Families of Duration Distributions
Some Important Processes
Some Structural Transition Models
Fully Parametric Inference
Other editions - View all
algorithm asymptotic calculate chapter conditional hazard consider constant continuous-time covariate path defined denoted depend derivative differentiation duration distributions duration of stay econometric econometricians elapsed duration entrants error event example expected Exponential distribution factor finite functional form Gamma Gamma distribution generalised given gives hazard function identifiability independent inference integrated hazard j'th joint density Laplace transform likelihood function log likelihood logarithm Markov chain maximise maximum likelihood estimator mean mixing distribution mixture model multiple destinations notation optimal order statistic partial likelihood person person-specific Poisson process probability density function probability of exit proportional hazard model random variable rank vector realisation regression regressor variables regressor vector renewal process residual right censored sampling scheme specification spells stochastic structural model Suppose survivor function theorem theory time-invariant time-varying covariates tion transition intensities uncensored unemployed unemployment unit Exponential unknown parameters unmeasured heterogeneity variance Weibull model Wiener process zero