Faster estimation of discrete time duration models with unobserved heterogeneity using hshaz2

David Troncoso-Ponce ()
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David Troncoso-Ponce: Área de Análisis Económico. Departamento de Economía, Métodos Cuantitativos e Historia Económica. Universidad Pablo de Olavide.

No 17.05, Working Papers from Universidad Pablo de Olavide, Department of Economics

Abstract: This article presents hshaz2, a new Stata command that uses d2 ml method to estimate discrete time duration models with unobserved heterogeneity. The main advantage of using hshaz2 is the gain in computation speed, that takes special relevance as the sample size increases. Estimation results show that, on a sample size of 568,042 observations, hshaz2 spends 0.42 and 1.13 minutes to achieve the convergence of a discrete time proportional hazard model with two and three points of support, respectively. Furthermore, hshaz2 allows for the estimation of multispell duration models, where individuals may be observed at risk of exiting more than once. Using, a sample with 1,547,507 observations, hshaz2 spends 1.17 and 2.17 minutes to achieve convergence of a multispell discrete time proportional hazard model with two and three points of support, respectively.

Keywords: Duration analysis; Unobserved heterogeneity; d2 ml method; hshaz; hshaz2; Hessian matrix; Stata. (search for similar items in EconPapers)
JEL-codes: C41 J64 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2017-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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