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Simple Estimation of a Duration Model with Unobserved Heterogeneity
Bo E. Honore
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 on the moments of the unobserved heterogeneity, 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. It is illustrated that the estimation strategy can be extended to a model with regressors and to a log-logistic model with unobserved heterogeneity. The main advantages of the estimator are that it is easy to calculate and that its asymptotic distribution can be derived.
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