Estimation of a duration model in the presence of missing data

This paper utilizes recent simulation techniques in a two-stage estimation method which is applicable for a wide range of statistical models in the pr esence of missing data. The first stage of the method provides a way to est imate (and simulate from) the joint distribution of missing variables when the missing variables are continuous, binary, or ordered discrete. The seco nd stage uses the first-stage estimates to "integrate" out the effects of t he missing variables and obtain model estimates. The implementation of the method in this paper allows theoretically important, partially missing wage and school characteristic variables-which are not necessarily independentl y determined-to be included in a proportional hazard model of teacher attri tion.