The Econometric Analysis of Transition Data
The Econometric Analysis of Transition Data
AUD$67.23
exc GSTThis book presents statistical methods for analysis of the duration of events. The primary focus is on models for single-spell data, events in which individual agents are observed for a single duration. Some attention is also given to multiple-spell data. The first part of the book covers model specification, including both structural and reduced form models and models with and without neglected heterogeneity. The book next deals with likelihood based inference about such models, with sections on full and semiparametric specification. A final section treats graphical and numerical methods of specification testing. This is the first published exposition of current econometric methods for the study of duration data.
- New and exciting area of research
- Comprehensive introduction to growing field
- First book of its kind; author is at the forefront of econometrics
Reviews & endorsements
'This is an important book. It provides an excellent, comprehensive introduction to a rapidly expanding field of econometric methods …'. Economica
'The analysis of transition/duration data is the next frontier beyond the now well-charted area of qualitative choice and limited-dependent variables. Lancaster's book is an excellent travel guide to this relatively unknown but beautiful land where time-series analysis and qualitative choice merge. Even if they do not decide to stay, economists and social scientists will return enriched from a trip under Professor Lancaster's guidance.' Geert Ridder, University of Groningen
Product details
November 1992Paperback
9780521437899
368 pages
226 × 151 × 18 mm
0.54kg
23 b/w illus. 1 table
Available
Table of Contents
- Preface
- Part I. Model Building:
- 1. Some basic results
- 2. Covariates and the hazard function
- 3. Parametric families of duration distribution
- 4. Mixture models
- 5. Some important processes
- 6. Some structural transition models
- Part II. Inference:
- 7. Identifiability issues
- 8. Fully parametric inference
- 9. Limited information inference
- 10. Misspecification analysis
- 11. Residual analysis
- Appendix 1: The gamma function and distribution
- Appendix 2: Some properties of the Laplace transform
- Bibliography
- Index.
