The (Mis)Specification of Discrete Duration Models with Unobserved Heterogeneity: A Monte Carlo Study
39 Pages Posted: 1 May 2009
Date Written: March 23, 2009
Abstract
Empirical researchers usually prefer statistical models that can be easily estimated using standard software packages. One such model is the sequential binary model with or without normal random effects; such models can be adopted to estimate discrete duration models with unobserved heterogeneity. But ease of estimation may come at a cost. In this paper we conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete duration models.
Keywords: discrete duration models, unobserved heterogeneity, Monte Carlo simulations
JEL Classification: C23, C25
Suggested Citation: Suggested Citation
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