The Econometric Analysis of Transition Data

by Lancaster, Tony

• ISBN13: 9780521437899
• ISBN10: 052143789X
• Format: Paperback
• Copyright: 1992-07-01
• Publisher: Cambridge Univ Pr

Summary

This book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.

Table of Contents

Preface

Part I. Model Building: 1. Some basic results

2. Covariates and the hazard function

3. Parametric families of duration distribution

4. Mixture models

5. Some important processes

6. Some structural transition models

Part II. Inference: 7. Identifiability issues

8. Fully parametric inference

9. Limited information inference

10. Misspecification analysis

11. Residual analysis

Appendix 1: The gamma function and distribution

Appendix 2: Some properties of the Laplace transform

Bibliography

Index.