No. 705 - The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study

by Cheti Nicoletti and Concetta Rondinelli
March 2009
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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.

Published in 2010 in: Journal of Econometrics, v. 159, 1, pp. 1-13

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  1. 27 March 2009
    No. 705 - The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study
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