The Econometric Analysis of Transition Data

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Cambridge University Press, Jun 26, 1992 - Business & Economics - 352 pages
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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.
 

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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
Bibliography
333
Index
349
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