Duration Models

Jean-Pierre Florens, Denis Fougere and Michel Mouchart
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Jean-Pierre Florens: IDEI, GREMAQ, Universite des Sciences Sociales de Toulouse, Toulouse, France
Michel Mouchart: Institut de Statistique and CORE, Universite catholique de Louvain

No 1995016, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This work has been prepared as chapter 19 for the volume Econometrics of Panel Data (2nd ed., Matyas and Sevestre eds., Kluwer Academic Publishers). The main emphasis is on modelling whereas inference problems are only sketched. After a short review on the basic issues on marginal models (i.e. models involving a duration variable only) conditional models are reviewed, namely the proportional hazard model and the accelerated time model. Problems of agregation and of heterogeneity are next examined. Competing risks models are presented with a particular emphasis on the identification of dependence among latent durations. Some examples of dependent durations are given. Finally, right-censoring is treated in the framework of competing riks models.

Date: 1995-02-01
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Working Paper: Duration models (1995)
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