Duration dependence and nonparametric heterogeneity : A Monte Carlo study

@inproceedings{Baker1999DurationDA,
  title={Duration dependence and nonparametric heterogeneity : A Monte Carlo study},
  author={Michael Baker and Angelo Melino},
  year={1999}
}
We examine the behaviour of the nonparametric maximum likelihood estimator (NPMLE) for a discrete duration model with unobserved heterogeneity and unknown duration dependence. We find that a nonparametric specification of either the duration dependence or unobserved heterogeneity, when the other feature of the hazard is known to be absent, leads to estimators that are well behaved even in modestly sized samples. In contrast, there is a large and systematic bias in the parameters of these… CONTINUE READING
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