Arbeitspapier
Semiparametric identification in duration models
This paper explores the identifiability of ratios of derivatives of the index function in a model of a duration process in which the impact of covariates on the hazard function passes through a single index. The model allows duration and the index to appear in a nonseparable form in the hazard function and includes a latent heterogeneity term which acts multiplicatively on the hazard function. The model allows covariates to be endogenous, that is to be correlated with the heterogeneity term. Quantile invariance, local order and local rank conditions are shown to be sufficient to permit identification of ratios of derivatives of the index function. The framework constructed in this paper is suitable for the analysis of identification in panel duration models with heterogeneity.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP20/02
- Classification
-
Wirtschaft
- Subject
-
Nichtparametrisches Verfahren
Dauer
- Event
-
Geistige Schöpfung
- (who)
-
Chesher, Andrew
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2002
- DOI
-
doi:10.1920/wp.cem.2002.2002
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chesher, Andrew
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2002
Other Objects (12)
A (semi-)parametric functional coefficient autoregressive conditional duration model
Estimating a semi-parametric duration model without specifying heterogeneity
Estimating a semi-parametric duration model without specifying heterogeneity
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Semiparametric Identification in Panel Data Discrete Response Models
Semiparametric models
Semiparametric identification of structural dynamic optimal stopping time models
Time-Dependent in Semi-Parametric Modelsof Unemployment Duration
On Nonparametric Identification of Treatment Effects in Duration Models
Semiparametric structural models of binary response: Shape restrictions and partial identification
Partial identification and inference in duration models with endogenous censoring
A (semi-)parametric functional coefficient autoregressive conditional duration model
Estimating a semi-parametric duration model without specifying heterogeneity
Estimating a semi-parametric duration model without specifying heterogeneity
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Semiparametric Identification in Panel Data Discrete Response Models
Semiparametric models
Semiparametric identification of structural dynamic optimal stopping time models
Time-Dependent in Semi-Parametric Modelsof Unemployment Duration
On Nonparametric Identification of Treatment Effects in Duration Models
Semiparametric structural models of binary response: Shape restrictions and partial identification
Partial identification and inference in duration models with endogenous censoring
A (semi-)parametric functional coefficient autoregressive conditional duration model
Estimating a semi-parametric duration model without specifying heterogeneity
Estimating a semi-parametric duration model without specifying heterogeneity
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Semiparametric Identification in Panel Data Discrete Response Models
Semiparametric models
Semiparametric identification of structural dynamic optimal stopping time models
Time-Dependent in Semi-Parametric Modelsof Unemployment Duration
On Nonparametric Identification of Treatment Effects in Duration Models
Semiparametric structural models of binary response: Shape restrictions and partial identification