The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study

Concetta Rondinelli and Cheti Nicoletti

No 705, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Empirical researchers usually prefer statistical models that can be easily estimated using standard software packages. One such model is the sequential binary model with or without normal random effects; such models can be adopted to estimate discrete duration models with unobserved heterogeneity. But ease of estimation may come at a cost. In this paper we conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete duration models.

Keywords: discrete duration models; unobserved heterogeneity; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C23 C25 (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_705_09

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