Abstract
A simple structure is suggested for modelling unobserved heterogeneity in multivariate duration models which avoids the “curse of dimensionality” and numerical integration of the likelihood function.
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Colby, G., Rilstone, P. Simplified estimation of multivariate duration models with unobserved heterogeneity. Computational Statistics 22, 17–29 (2007). https://doi.org/10.1007/s00180-006-0019-7
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DOI: https://doi.org/10.1007/s00180-006-0019-7