Econometrica: Mar, 1990, Volume 58, Issue 2

Simple Estimation of a Duration Model with Unobserved Heterogeneity

https://doi.org/0012-9682(199003)58:2<453:SEOADM>2.0.CO;2-0
p. 453-473

Bo E. Honore

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.