Abstract
We present a semiparametric procedure for the estimation of duration models in the presence of unobservable heterogeneity. The heterogeneity distribution is modelled as a mixture of Dirichlet processes. This places weak restrictions on its functional form and yields the popular Weibull model with Gamma mixing as a limiting case.Programs to estimate the model, as well as to generate the data, may be obtained on the internet at http://garnet.acns.fsu.edu/~kprasad/.
Original language | English (US) |
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Pages (from-to) | 19-25 |
Number of pages | 7 |
Journal | Economics Letters |
Volume | 55 |
Issue number | 1 |
DOIs | |
State | Published - Aug 15 1997 |
Keywords
- C14
- C41
- Dirichlet process
- Duration model
- Semiparametric estimation
- Unobserved heterogeneity
ASJC Scopus subject areas
- Finance
- Economics and Econometrics