Title:      Modeling Sample Selection for Durations with
Time-Varying Covariates

Authors:    Frederick  Boehmke

Entrydate:  2008-07-02 13:13:21

Keywords:   selection, selection bias, duration, time-vary
covariates, event history, exchange rates

Abstract:   We extend previous estimators for duration data that
suffer from non-random sample selection to allow for time-varying
covariates. Rather that a continuous-time duration model, we
propose a discrete-time alternative that models the (constant)
effects of sample selection at the time of selection across all
years of the resulting spell. Properties of the estimator are
compared to those of a naive discrete duration model through
Monte Carlo analysis and indicate that our estimator outperforms
the naive model when selection is non-trivial. We then apply this
estimator to the question of the duration of monetary regimes.

http://polmeth.wustl.edu/retrieve.php?id=769

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