*! version 0.2 August 22, 2009
help fhh

Title

fhh -- Estimation of Discrete Time Duration Models with Group-level Heterogeneity

Syntax

fhh varlist [if] [in] [, tau(real)
details nodummy]

varlist must have the following structure:

The first element is the group id.

The second element is the individual id.

The third element is the period (calendar time).

The 4th element is y. y takes 2 values: y=0 if the event has not happened and y=1 if the event happened this period.

The 5th element is the number of periods in state (S in paper).

The remaining elements are the explanatory variables.

Despription

fhh implements the logit estimator in Frederiksen, Honoré and Hu (2007). If the panel is unbalanced, the weight given to all
the comparisons for unit i is 1/T(i). See Honoré and Kyriazidou (2000).

Options

details specifies that details form the numerical optimization are displayed.

tau(real) specifies the value of tau in Frederiksen, Honoré and Hu (2007). The default is 100.

nodummy will force the coefficients of all durations dummies to be 0. This is useful if the user wants
to parameterize the duration dependence (in which case transformations of the duration could be used as covariates).

Examples

. fhh g_id p_id caltim y s x1 x2 x3

. fhh g_id p_id caltim y s x1 x2 x3, details

. fhh g_id p_id caltim y s x1 x2 x3, det

. fhh g_id p_id caltim y s x1 x2 x3, details tau(10)

References

Frederiksen, Anders, Bo E. Honore and Luojia Hu (2007) "Discrete time duration models with group-level heterogeneity," Journal of Econometrics, volume 141, issue 2, pp 1014-1043

Honoré, Bo E. and Ekaterini Kyriazidou (2000): "Estimation of Tobit-Type Models with Individual Specific Effects" Econometric Reviews, vol. 19, no. 3, pp. 341-366

Authors

Bo E. Honoré, Princeton University, honore@princeton.edu

Luojia Hu, Federal Reserve Bank of Chicago, lhu@frbchi.org