Dynamic Discrete-Time Duration Models
Dynamic Discrete-Time Duration Models
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发表时间:
1997
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通讯作者:
L. Fahrmeir;L. Knorr‐Held
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作者:
L. Fahrmeir;L. Knorr‐Held
Discrete{time grouped duration data, with one or multiple types of terminating events, are often observed in social sciences or economics. In this paper we suggest and discuss dynamic models for exible Bayesian nonparametric analysis of such data. These models allow simultaneous incorporation and estimation of baseline hazards and time{varying covariate eeects, without imposing particular parametric forms. Methods for exploring the possibility of time{varying eeects, as for example the impact of nationality or unemployment insurance beneets on the probability of re{employment, have recently gained increasing interest. Our modeling and estimation approach is fully Bayesian and makes use of Markov Chain Monte Carlo (MCMC) simulation techniques. A detailed analysis of unemployment duration data, with full{time job, part{time job and other causes as terminating events, illustrates our methods and shows how they can be used to obtain reened results and interpretations.