Duration

Hazard Models

(vandenBerg2001) Van den Berg, G.J. (2001) Chapter 55 Duration Models: Specification, Identification and Multiple Durations. Handbook of Econometrics, 5, 3381-3460

Lectures:

(Lect1) First lecture

(2011_11_22) Duration Models with Time Varying Unobserved Heterogeneity

Identification:

(ER82) Elbers, C. and Ridder, G. (1982) True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model. Review of Economic Studies, 49, 403-409.

(HS84b) Heckman, J.J. and Singer, B. (1984b) The Identifiability of the Proportional Hazard Model. Review of Economic Studies, 52, 231-243.

(MS90) Melino, A. and Sueyoshi, G.T. (1990) A Simple Approach to the Identifiability of the Proportional Hazards Model. Economics Letters, 33, 63-68.

(R90) Ridder, G. (1990) The Non-Parametric Identification of Generalized Hazard Models. Review of Economic Studies, 57, 167-182

(H91) Heckman, J.J. (1991) Identifying the Hand of Past: Distinguishing State Dependence from Heterogeneity. American Economic Review, Papers and Proceedings, 78, 75-79.

(Honore93) Honore, B. (1993) Identification Results for Duration Models with Multiple Spells. Review of Economics Studies, 60, 241-246.

(Honore93WP) Honore, B. (1993) Identification Results for Duration Models with Multiple Spells and Time Varying Covariates. Northwestern University working paper.

(Mc96) McCall, B.P. (1996) The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients. Econometric Theory, 12(4), 773-738.

(AvB2000) Abbring, J.H. and van den Berg, G.J. (2000) The Non-Parametric Identification of the Mixed Proportional Hazards Competing Risks Model. Tinbergen Institute Discussion Paper 00-066/3.

(AvB2007) Abbring, J.H. and van den Berg, G.J. (2007) The Unobserved Heterogeneity Distribution in Duration Analysis. Biometrika, 94(1), 87-99.

Estimation:

(HS84a) Heckman, J. and Singer, B. (1984a). A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data, Econometrica, 52:271-320.

(HS84c) Heckman, J.J. and Singer, B. (1984) Econometric Duration Analysis. Journal of Econometrics, 24, 63-132.

(HT94) Heckman, J.J. and Taber, C.R. (1994) Econometric Mixture Models and More General Models for Unobservables in Duration Analyses. NBER technical working paper no. 157

(Hahn94) Hahn, J. (1994) The Efficiency Bound of the Mixed Proportional Hazard Model. Review of Economics Studies, 61, 607-629.

(H96) Horowitz, J.L. (1996) Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable. Econometrica, 64(1), 103-137.

(RT99) Ridder, G. and Tunali, I. (1999) Stratified Partial Likelihood Estimation. Journal of Econometrics, 92, 193-232.

(BM2000) Baker, M. and Melino, A. (2000) Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study. Journal of Econometrics, 96(2), 357-393.

(W2000) Woutersen, T. (2000) Estimators for Panel Duration Data with Endogenous Censoring and Endogenous Regressors, Econometric Society World Congress 2000 Contributed Papers1581, Econometric Society.

Applications:

(HW1990) Heckman, J.J. and Walker, J.R. (1990) The Relationship between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Logitudinal Data. Econometrica, 58(6), 1411-1441.

(HamRe87) Ham, J.C. and Rea, S.A. (1987) Unemployment Insurance and Male Unemployment Duration in Canada. Journal of Labor Economics, 5(3), 325-353.

(BGLMT07) Bhattacharjee, S., Gopal, R.D., Lertwachara, K., Marsden, J.R., and Telang, R. (2007) The Effect of Digital Sharing Technologies on Music Markets: A Survival Analysis of Albums on Ranking Charts. Management Science, 53(9), 1359-1374.

(Belzil95) Belzil, C. (1995) Unemployment Insurance and Unemployment Over Time: An Analysis with Event History Data. Review of Economics and Statistics, 77(1), 113-126

(VilcassimJain91) Vilcassim Jain (1991) Modelling Purchase Timing and Brand Switching Behavior Incorporating Explanatory Variables and Unobserved Heterogeneity. Journal of Marketing Research, 28, 29-41.

(Ryu92) Structural Duration Analysis of Management Data. Journal of Econometrics, 57, 91-115.

Stochastic Processes

1. Event History Analysis:

(AD2002) Andersen and Keiding (2002) Multi-State Models for Event History Analysis. Statistical Methods in Medical Research, 11, 91-115.

2. Threshold Regression and Hitting-Time Models

(A2012) Abbring, J.H. (2012) Mixed Hitting-Time Models. Econometrica, 80(2), 783-819.

(LW2006) Lee and Whitmore (2002) Threshold regression for Survival Analysis: Modeling Event Times by a Stochastic Process Reaching a Boundary. Statistical Science, 21(4), 501-513.

(S2006) Singpurwalla (2006) The Hazard Potential: Introduction and Overview. JASA, 101(476), 1705-1717.