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Mixed Hitting‐Time Models

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  • Jaap H. Abbring

Abstract

We study mixed hitting-time models, which specify durations as the first time a Levy process (a continuous-time process with stationary and independent increments) crosses a heterogeneous threshold. Such models of substantial interest because they can be reduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure. We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted to prove identifiability of a hitting-time model with observed covariates and unobserved heterogeneity. We discuss inference from censored data and give examples of structural applications. We conclude by discussing the relative merits of both models as complementary frameworks for econometric duration analysis.

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File URL: http://hdl.handle.net/10.3982/ECTA7312
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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 80 (2012)
Issue (Month): 2 (03)
Pages: 783-819

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Handle: RePEc:ecm:emetrp:v:80:y:2012:i:2:p:783-819

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  1. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  2. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc.
  3. Jovanovic, Boyan, 1979. "Job Matching and the Theory of Turnover," Journal of Political Economy, University of Chicago Press, vol. 87(5), pages 972-90, October.
  4. Ridder, Geert, 1990. "The Non-parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Wiley Blackwell, vol. 57(2), pages 167-81, April.
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Cited by:
  1. Jaap Abbring & James Heckman, 2008. "Dynamic policy analysis," CeMMAP working papers CWP05/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Botosaru, Irene, 2011. "A Duration Model with Dynamic Unobserved Heterogeneity," TSE Working Papers 11-262, Toulouse School of Economics (TSE).

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