A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity

Tao Zhang ()
Additional contact information
Tao Zhang: The Ragnar Frisch Centre for Economic Research, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

No 25/2003, Memorandum from Oslo University, Department of Economics

Abstract: We conduct extensive Monte Carlo experiments on non-parametric estimations of duration models with unknown duration dependence and unknown mixing distribution for unobserved heterogeneity. We propose a full non-parametric maximum likelihood approach, based on time-varying lagged explanatory covariates from observational data. By utilising this data-based identification source, we find that both duration dependence and unobserved heterogeneity can be reliably estimated. Our Monte Carlo evidences show that variation in time-varying lagged explanatory variables contributes to the identification of both duration dependence and unobserved heterogeneity, especially when sample sizes are limited. For limited sample sizes, maximum penalised likelihood with information criteria seems to produce more accurate estimators than pure maximum likelihood. Our approach can be easily extended to multivariate competing risks model with dependent unobserved heterogeneities.

Keywords: duration dependence; unobserved heterogeneity; non-parametric estimation; Monte Carlo study; time-varying covariates (search for similar items in EconPapers)
JEL-codes: C14 C15 C41 (search for similar items in EconPapers)
Pages: 89 pages
Date: 2003-12-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sv.uio.no/econ/english/research/unpubli ... 003/Memo-25-2003.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:hhs:osloec:2003_025

Access Statistics for this paper

More papers in Memorandum from Oslo University, Department of Economics Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Mari Strønstad Øverås ().