Duration Models and Point Processes
AbstractThis survey is devoted to the statistical analysis of duration models and pointprocesses. The first section introduces specific concepts and definitions forsingle-spell duration models. Section two is devoted to the presentation ofconditional duration models which incorporate the effects of explanatoryvariables. Competing risks models are presented in the third section. Thefourth section is concerned with statistical inference, with a special emphasison non- and semi- parametric estimation of single-spell duration models.Section 5 sets forth the main definitions for point and counting processes.Section 6 presents important elementary examples of point processes, namelyPoisson, Markov and semi-Markov processes. The last section presents ageneral semi-parametric framework for studying point processes withexplanatory variables.
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Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2007-37.
Date of creation: 2007
Date of revision:
Other versions of this item:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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