Initial Conditions Problem in Event History Analysis: An Indirect Inference Procedure

  • Mark Y. An
Chapter

Abstract

In event history analysis, the problem of initial conditions is associated with the first spells being left-hand censored (LHC). Currently there are two ways of treating the LHC spells: the Bayesian approach and the direct likelihood approach. Both require strong assumptions about functional forms. This paper proposes an indirect inference procedure which uses simple simulation to correct the discrepancy of a maximum pseudo likelihood estimator.

Keywords

Transition Intensity Event History Analysis Indirect Inference Maximum Pseudo Likelihood Initial Condition Problem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. An, M. Y. (1992): “Econometric Analysis of Sequential Discrete Choice models,” CAE Working Paper x #92–03, Cornell University.Google Scholar
  2. Gallant, A.R. and G.E. Tauchen (1992): “Which Moment to Match?” Manuscript, Duke University.Google Scholar
  3. Gourieroux, C., A. Monfort and E. Renault (1993): “Indirect Inference,” Journal of Applied Econometrics, Vol. 8, S85–118.CrossRefGoogle Scholar
  4. Heckman, J.J. and B. Singer (1986): “Econometric Analysis of Longitudinal Data,” in Z. Griliches and M.D. Intriligator (eds.) Handbook of Econometrics Vol. III, 1917–1978.Google Scholar
  5. Lancaster, T. (1990): The Econometric Analysis of Transition Data, New York: Cambridge University Press.MATHGoogle Scholar
  6. Nickell, S.J (1979): “Estimating the Probability of Leaving Unemployment,” Econometrica, 47, 1249–1266.MathSciNetMATHCrossRefGoogle Scholar
  7. Ondrich, J. I. (1985): “The Initial Conditions Problem in Work History Data,” Review of Economics and Statistics, 67, 411–421.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media Dordrecht 1996

Authors and Affiliations

  • Mark Y. An
    • 1
  1. 1.Department of EconomicsDuke UniversityDurhamUSA

Personalised recommendations