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Duration Dependence and Dispersion in Count-Data Models

Rainer Winkelmann ()

Journal of Business & Economic Statistics, 1995, vol. 13, issue 4, 467-74

Abstract: This paper explores the relation between nonexponential waiting times between events and the distribution of the number of events in a fixed time interval. It is shown that within this framework the frequently observed phenomenon of overdispersion, i.e., a variance that exceeds the mean, is caused by a decreasing hazard function of the waiting times, while an increasing hazard function leads to underdispersion. Using the assumption of i.i.d. gamma distributed waiting times, a new count data model is derived. Its use is illustrated in two applications: the number of births and the number of doctor consultations.

Date: 1995
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