A Note on Estimating Continuous Time Decision Models

摘要

In this paper we point out a potential source of bias in the estimation of continuous time decision equations. This bias will exist whenever there are censored observations in the data and estimation techniques such as least squares are used. To correct for this bias one has to use an estimation technique, such as the Cox regression model, which takes censored observations into account. We demonstrate the usefulness of the Cox model by estimating an unemployment duration equation and a childspacing equation. We think that the Cox model performs adequately and yields reasonable estimates.