Using Quantile Regression for Duration Analysis


Fitzenberger, Bernd ; Wilke, Ralf A.


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URL: http://ub-madoc.bib.uni-mannheim.de/1182
URN: urn:nbn:de:bsz:180-madoc-11820
Document Type: Working paper
Year of publication: 2005
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C13 C14 J64 ,
Subject headings (SWD): Deutschland , Arbeitslosigkeit , Quantil , Box-Cox-Transformation
Abstract: Quantile regression methods are emerging as a popular technique in econometrics and biometrics for exploring the distribution of duration data. This paper discusses quantile regression for duration analysis allowing for a flexible specification of the functional relationship and of the error distribution. Censored quantile regression address the issue of right censoring of the response variable which is common in duration analysis. We compare quantile regression to standard duration models. Quantile regression do not impose a proportional effect of the covariates on the hazard over the duration time. However, the method can not take account of time{varying covariates and it has not been extended so far to allow for unobserved heterogeneity and competing risks. We also discuss how hazard rates can be estimated using quantile regression methods. A small application with German register data on unemployment duration for younger workers demonstrates the applicability and the usefulness of quantile regression for empirical duration analysis.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Fitzenberger, Bernd ; Wilke, Ralf A. (2005) Using Quantile Regression for Duration Analysis. Open Access [Working paper]
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