Modeling Sample Selection for Durations with Time-Varying Covariates, With an Application to the Duration of Exchange Rate Regimes

Frederick J. Boehmke and Christopher Meissner

No 276, Working Papers from University of California, Davis, Department of Economics

Abstract: We extend existing estimators for duration data that suffer from non-random sample selection to allow for time-varying covariates. Rather than a continuous-time duration model, we propose a discrete-time alternative that models the effects of sample selection at the time of selection across all subsequent years of the resulting spell. Properties of the estimator are compared to those of a naive discrete duration model through Monte Carlo analysis and indicate that our estimator outperforms the naive model when selection is non-trivial. We then apply this estimator to the question of the duration of monetary regimes and find evidence that ignoring selection into pegs leads to faulty inferences.

Keywords: exchange rates; de facto regimes; duration; selection models; monetary policy (search for similar items in EconPapers)
Pages: 33
Date: 2009-09-29
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.dss.ucdavis.edu/files/oJghv6ZbyxVBeghHQV9rbTbL/09-22.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:cda:wpaper:276

Access Statistics for this paper

More papers in Working Papers from University of California, Davis, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Letters and Science IT Services Unit ().