Mixed Hitting-Time Models
AbstractWe 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.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 07-057/3.
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Date of revision: 11 Aug 2009
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duration analysis; hitting time; identifiability; Lévy process; mixture;
Other versions of this item:
- 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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