The Econometric Analysis of Transition Data

The Econometric Analysis of Transition Data

by Tony Lancaster
     
 

ISBN-10: 052143789X

ISBN-13: 9780521437899

Pub. Date: 06/28/1992

Publisher: Cambridge University Press

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

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Overview

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.

Product Details

ISBN-13:
9780521437899
Publisher:
Cambridge University Press
Publication date:
06/28/1992
Series:
Econometric Society Monographs Series, #17
Edition description:
New Edition
Pages:
352
Product dimensions:
5.98(w) x 8.98(h) x 0.83(d)

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.

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