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Discrete time duration models with group-level heterogeneity

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  • Anders Frederiksen
  • Bo Honoré, Princeton University, United States
  • Loujia Hu, Northwestern University, United States
  • Department of Economics
  • Centre for Research in Integration, Education, Qualifications and Marginalization (CIM)
  • Center for Corporate Performance (CCP)
Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group-specific effect in parametric and semiparametric versions of the model. The proposed method is illustrated by an
empirical analysis of job durations allowing for firm-level effects.
Original languageEnglish
JournalJournal of Econometrics
Volume141
Issue2
Pages (from-to)1014-1043
Number of pages30
ISSN0304-4076
DOIs
Publication statusPublished - 2007

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