Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 187
Issue: 1
Pages: 275-292

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper uses Monte Carlo analysis to study important and contentious issues in estimating single-spell discrete time duration models. We find simulated annealing dominates gradient methods for recovering true models. We recommend a partially flexible step function for duration dependence combined with likelihood ratio tests for determining support points of unobserved heterogeneity. We find that ignoring time-changing features of explanatory variables introduces substantial biases in model coefficient and average partial effect estimates. These biases do not diminish as sample size increases.

Technical Details

RePEc Handle
repec:eee:econom:v:187:y:2015:i:1:p:275-292
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25