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Re: st: duration analysis in gllamm


From   Melaku Fekadu <melaku.fekadu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: duration analysis in gllamm
Date   Mon, 12 Jul 2010 19:07:35 +0300

Marteen,

so you are advicing me to rely on only the parametrical one?

thanks really for your help!

On Mon, Jul 12, 2010 at 6:57 PM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- On Mon, 12/7/10, Melaku Fekadu wrote:
>> I want to estimate a duration model (time-to-first-employment)
>> through gllamm with unobserved heterogeneity.
>
> Steve has given you some additional references, I am just going
> to give you a warning on this question:
>
>>    How should look like a code in gllamm
>> unobserved heterogeneity (parametric and non-parametric)?
>
> non-parametric models for unobserved heterogeneity are just
> divide the population up into groups. The argument is that
> such a categorical distribution is an approximation of the
> continuous unobserved variable. I have recently done some
> simulations where I found that especially the two class
> case tends to exhibit behaviour that is unique to a grouped
> distribution: over time the negative correlation between
> the observed and unobserved variables first increased and
> than decreased again. The latter decrease was due to the
> fact that at later points in time "frail" class became almost
> empty. I am not that comfortable with an approximation of
> a continuous distribution that on important characteristics
> shows behaviour that is unique to a categorical distribuiton.
> Especially since the information content in the data on this
> unobserved variable is very small (obviously), so any goodness
> of fit statistic used to select the number of classes might
> easily let you choose a model with too few classes that would
> show the behaviour I just mentioned.
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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