Bayesian estimation of duration models: An application of the multiperiod probit model |
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Authors: | Michele Campolieti |
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Institution: | (1) Institute for Policy Analysis, University of Toronto, 140 St. George Street, Suite 707, M5S 3G6 Toronto, Ontario, Canada |
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Abstract: | The multiperiod probit model is presented and Bayesian estimation using the Gibbs sampler with data augmentation is described. As an empirical illustration, the multiperiod probit model is then used to estimate a duration model using employment duration data for the Canadian province of New Brunswick. Bayesian estimation with unobserved heterogeneity is shown to be a simple extension of estimation of a duration model with no unobserved heterogeneity. More importantly, perhaps, some numerical problems encountered by other authors using Maximum Likelihood are avoided.I would like to thank M. Baker, G. Koop, A. Melino and D. Poirier for helpful comments and discussions. I would also like to thank M. Baker for providing his data. |
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Keywords: | Gibbs Sampler Data Augmentation Multiperiod Probit Unobserved Heterogeneity Random Effects |
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