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Interdependent Durations

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  • Bo E. Honor
  • �ureo De Paula

Abstract

This paper studies the identification of a simultaneous equation model involving duration measures. It proposes a game theoretic model in which durations are determined by strategic agents. In the absence of strategic motives, the model delivers a version of the generalized accelerated failure time model. In its most general form, the system resembles a classical simultaneous equation model in which endogenous variables interact with observable and unobservable exogenous components to characterize an economic environment. In this paper, the endogenous variables are the individually chosen equilibrium durations. Even though a unique solution to the game is not always attainable in this context, the structural elements of the economic system are shown to be semi-parametrically identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model. Copyright , Wiley-Blackwell.

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Bibliographic Info

Article provided by Oxford University Press in its journal The Review of Economic Studies.

Volume (Year): 77 (2010)
Issue (Month): 3 ()
Pages: 1138-1163

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Handle: RePEc:oup:restud:v:77:y:2010:i:3:p:1138-1163

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Cited by:
  1. �ureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, Annual Reviews, vol. 5(1), pages 107-131, 05.
  2. Aureo de Paula & Xun Tang, 2010. "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania 10-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Pierre-André Chiappori & Ivana Komunjer, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," Working Papers, Becker Friedman Institute for Research In Economics 2009-003, Becker Friedman Institute for Research In Economics.

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