centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Semiparametric identification in duration models

Authors: Andrew Chesher
Date: 13 November 2002
Type: cemmap Working Paper, CWP20/02
DOI: 10.1920/wp.cem.2002.2002

Abstract

This paper explores the identifiability of ratios of derivatives of the index function in a model of a duration process in which the impact of covariates on the hazard function passes through a single index. The model allows duration and the index to appear in a nonseparable form in the hazard function and includes a latent heterogeneity term which acts multiplicatively on the hazard function. The model allows covariates to be endogenous, that is to be correlated with the heterogeneity term. Quantile invariance, local order and local rank conditions are shown to be sufficient to permit identification of ratios of derivatives of the index function. The framework constructed in this paper is suitable for the analysis of identification in panel duration models with heterogeneity. Download full version

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us