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st: [Non Stata] Semiparametric duration model.


From   Antoine Terracol <Antoine.Terracol@univ-paris1.fr>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: [Non Stata] Semiparametric duration model.
Date   Tue, 06 Aug 2002 19:32:14 +0200

Hello all

In their paper "Flexible parametric estimation of duration and competing risk models" (J. of Applied Econometrics, vol. 5, 1990), Han and Hausman build a semiparametric duration model where the probability of failing in interval [t, t+1] takes an 'ordered' extreme-value form (and lead to the same results as the better known Meyer [90] paper).
However, they argue that the extreme-value distribution could be replaced by a normal distribution that "allows handling jointly endogeneous variables via instrumental variable techniques".

Is anyone on the list aware of a paper using this technique (i.e. replacing the extreme-value distribution by a normal one) ?

Any pointers would be greatly appreciated.

Best,
Antoine

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