Simple Estimation of a Duration Model with Unobserved Heterogeneity

Author
Publication Year
1990

Type

Journal Article
Abstract

This paper presents a simple estimator of the shape parameter in a Weibull duration model with unobserved heterogeneity. The estimator is consistent and asymptotically normal under mild conditions, and a consistent estimator of the asymptotic variance is available. A Monte Carlo study indicates that the asymptotic distribution of the estimator provides a good approximation to the finite sample distribution. The estimation strategy can be extended to a model with regressors and to a log-logistic model with unobserved heterogeneity. The advantages of the estimator are that it is easy to calculate and that its asymptotic distribution can be derived.

Journal
Econometrica
Volume
58
Issue
2
Pages
453-73
Date Published
03/1990