Estimation of competing risks duration models with unobserved heterogeneity using hsmlogit

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

No 18.03, Working Papers from Universidad Pablo de Olavide, Department of Economics

Abstract: This article presents hsmlogit, a new Stata command that estimates multispells discrete time competing risks duration models with unobserved heterogeneity. hsmlogit allows for the estimation of one, two and up to three competing risks, as well as a maximum of ve points of support for the identication of unobserved heterogeneity distribution (Heckman and Singer, 1984). The main contribution of hsmlogit is that allows for exploiting the richness of large longitudinal micro datasets, by estimating competing risks duration models, instead of one-risk models (such as hshaz and hshaz2), as well as it takes into account the presence of unobserved heterogeneity affecting transition rates. In addition to this, and taking into account the larger size of longitudinal micro datasets used for the estimation of discrete time duration models, hsmlogit also provides the algebraic expressions of both rst and second order derivatives that, respectively, dene the gradient vector and Hessian matrix, which signicantly reduce time required to achieve model convergence.

Keywords: Duration analysis; Unobserved heterogeneity; d2 ml method; hshaz; hshaz2; hsmlogit; Hessian matrix; Multinomial Logit; Competing risks; Stata. (search for similar items in EconPapers)
JEL-codes: C23 C25 C41 C54 C55 J64 J68 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2018-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.upo.es/serv/bib/wps/econ1803.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pab:wpaper:18.03

Access Statistics for this paper

More papers in Working Papers from Universidad Pablo de Olavide, Department of Economics Carretera de Utrera km.1, 41013 Sevilla. Contact information at EDIRC.
Bibliographic data for series maintained by Publicación Digital - UPO ().