The Econometric Analysis of Transition Data [Paperback]

This is the first published exposition of current econometric methods for the study of duration data.The first published exposition of current econometric methods for the study of duration data focuses primarily on single-spell data, events in which individual agents are observed for a single duration, although some attention is also given to multiple-spell data.The first published exposition of current econometric methods for the study of duration data focuses primarily on single-spell data, events in which individual agents are observed for a single duration, although some attention is also given to multiple-spell data.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.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. The analysis of transition/duration data is the next frontier beyond the now well-charted area of qualitative choice andl“8