Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79375 
Year of Publication: 
2007
Series/Report no.: 
cemmap working paper No. CWP15/07
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards (MPH) structure. We show how strategies for analyzing the MPH model's identifiability can be adapted to prove identifiability of an MHT model with observed regressors and unobserved heterogeneity. We discuss inference from censored data and extensions to time-varying covariates and latent processes with more general time and dependency structures. We conclude by discussing the relative merits of the MHT and MPH models as complementary frameworks for econometric duration analysis.
Subjects: 
duration analysis , hitting time , identifiability , L´evy process , mixture
JEL: 
C14
C41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
426.06 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.