Arbeitspapier
Duration models and point processes
This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of explanatory variables. Competing risks models are presented in the third section. The fourth section is concerned with statistical inference, with a special emphasis on non- and semi- parametric estimation of single-spell duration models. Section 5 sets forth the main definitions for point and counting processes. Section 6 presents important elementary examples of point processes, namely Poisson, Markov and semi-Markov processes. The last section presents a general semi-parametric framework for studying point processes with explanatory variables.
- Language
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Englisch
- Bibliographic citation
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Series: IZA Discussion Papers ; No. 2971
- Classification
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Wirtschaft
- Subject
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Statistische Bestandsanalyse
Mikroökonometrie
Markovscher Prozess
Theorie
- Event
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Geistige Schöpfung
- (who)
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Florens, Jean-Pierre
Fougère, Denis
Mouchart, Michel
- Event
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Veröffentlichung
- (who)
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Institute for the Study of Labor (IZA)
- (where)
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Bonn
- (when)
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2007
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Florens, Jean-Pierre
- Fougère, Denis
- Mouchart, Michel
- Institute for the Study of Labor (IZA)
Time of origin
- 2007
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Dynamically assigned treatments: duration models, binary treatment models, and panel data models
Estimating panel data duration models with censored data
Lagged duration dependence in mixed proportional hazard models
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Heterogeneity in Unemployment Duration Models
Semiparametric identification in duration models
Evaluating models of autoregressive conditional duration
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Modeling the interdependence of volatility and inter-transaction duration processes
Dynamically assigned treatments: duration models, binary treatment models, and panel data models
Estimating panel data duration models with censored data
Lagged duration dependence in mixed proportional hazard models
A Dynamic Model of Trade Union Contract Duration
Dynamic Choice, Multistate Duration Models and Stochastic Structure