Mixed Hitting‐Time Models
AbstractWe study a mixed hitting-time (MHT) model that specifies durations as the first time a LÃ©vy processâ a continuous-time process with stationary and independent incrementsâ 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.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 80 (2012)
Issue (Month): 2 (03)
Other versions of this item:
- Abbring, J.H., 2009. "Mixed Hitting-Time Models," Discussion Paper 2009-62, Tilburg University, Center for Economic Research.
- Jaap Abbring, 2007. "Mixed hitting-time models," CeMMAP working papers CWP15/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jaap H. Abbring, 0000. "Mixed Hitting-Time Models," Tinbergen Institute Discussion Papers 07-057/3, Tinbergen Institute, revised 11 Aug 2009.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
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