Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86253
Authors: 
Abbring, Jaap H.
Year of Publication: 
2007
Series/Report no.: 
Tinbergen Institute Discussion Paper 07-057/3
Abstract: 
We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy 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
Lévy process
mixture
JEL: 
C14
C41
Document Type: 
Working Paper

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