This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

In this paper we show that panel estimates of tenure specific sensitivity to the business cycle of wages is subject to serious pitfalls. Three canonical variates used in the literature - the minimum unemployment rate during a worker's time at the firm (min u), the unemployment rate at the start...

In this paper we show that panel estimates of tenure specific sensitivity to the business cycle of wages is subject to serious pitfalls. Three canonical variates used in the literature – the minimum unemployment rate during a worker's time at the firm (min u), the unemployment rate at the...

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

A common practice in modeling intertrade durations is to use various hazard functions for data fitting. This paper calls into question this practice and suggests mixing the hazard function as exponential. An underlying hypothesis of the suggestion is that duration data have a mixture of...

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of...

In this paper, we suggest and evaluate specification tests to test the validity of the conditional mean function implied by Autoregressive Conditional Duration (ACD) models. We propose Lagrange multiplier tests against sign bias alternatives, various types of conditional moment tests and...

Norway experienced a high immigration flow after the EEA directive in 2004 stating workers right to free movement within the European Union and EEA-countries. There is no clear consensus in the literature on how immigration affects native wages, but some studies using Norwegian micro data have...

Norway experienced a high immigration flow after the EEA directive in 2004 stating workers right to free movement within the European Union and EEA-countries. There is no clear consensus in the literature on how immigration affects native wages, but some studies using Norwegian micro data have...