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Interdependent Durations

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  • Bo Honore

    ()
    (Department of Economics, Princeton University)

  • Aureo de Paula

    ()
    (Department of Economics, University of Pennsylvania)

Abstract

This paper studies the identification of a simultaneous equation model where the variable of interest is a duration measure. 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 a certain 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 semiparametrically point identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model.

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Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 08-007.

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Length: 27 pages
Date of creation: 19 Feb 2008
Date of revision:
Handle: RePEc:pen:papers:08-007

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Keywords: duration; empirical games; identification;

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References

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  1. 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.
  2. Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
  3. Lee, M.J., 1990. "Median Regression For Ordered Discrete Response," Papers 9-90-11, Pennsylvania State - Department of Economics.
  4. Leo K. Simon and Maxwell B. Stinchcombe., 1987. "Extensive Form Games in Continuous Time: Pure Strategies," Economics Working Papers 8746, University of California at Berkeley.
  5. Paul Frijters, 2000. "The Non-Parametric Identification of Lagged Duration Dependence," Tinbergen Institute Discussion Papers 00-030/3, Tinbergen Institute.
  6. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 57-81.
  7. Sokbae 'Simon' Lee, 2003. "Estimating panel data duration models with censored data," CeMMAP working papers CWP13/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
  9. Bergin, James & MacLeod, W Bentley, 1993. "Continuous Time Repeated Games," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(1), pages 21-37, February.
  10. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
  11. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 70(1), pages 147-165, January.
  12. James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
  13. de Paula, Áureo, 2009. "Inference in a synchronization game with social interactions," Journal of Econometrics, Elsevier, vol. 148(1), pages 56-71, January.
  14. Joel L. Horowitz & Sokbae Lee, 2002. "Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A5-3, International Conferences on Panel Data.
  15. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
  16. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
  17. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Wiley Blackwell, vol. 49(3), pages 403-09, July.
  18. Heckman, James J & Borjas, George J, 1980. "Does Unemployment Cause Future Unemployment? Definitions, Questions and Answers from a Continuous Time Model of Heterogeneity and State Dependence," Economica, London School of Economics and Political Science, vol. 47(187), pages 247-83, August.
  19. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The Nonparametric Identification of Treatment Effects in Duration Models," Econometrica, Econometric Society, vol. 71(5), pages 1491-1517, 09.
  20. Geert Ridder & Tiemen M. Woutersen, 2003. "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model," Econometrica, Econometric Society, vol. 71(5), pages 1579-1589, 09.
  21. Honore, Bo E, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 241-46, January.
  22. Frederiksen, Anders & Honore, Bo E. & Hu, Luojia, 2007. "Discrete time duration models with group-level heterogeneity," Journal of Econometrics, Elsevier, vol. 141(2), pages 1014-1043, December.
  23. Andreas Park & Lones Smith, 2006. "Caller Number Five: Timing Games that Morph from One Form to Another," Cowles Foundation Discussion Papers 1554, Cowles Foundation for Research in Economics, Yale University.
  24. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-73, March.
  25. Michael Rosholm & Michael Svarer, . "Structurally Dependent Competing Risks," Economics Working Papers 2000-11, School of Economics and Management, University of Aarhus.
  26. Roger W. Klein & Robert P. Sherman, 2002. "Shift Restrictions and Semiparametric Estimation in Ordered Response Models," Econometrica, Econometric Society, vol. 70(2), pages 663-691, March.
  27. Coppejans, Mark, 2007. "On efficient estimation of the ordered response model," Journal of Econometrics, Elsevier, vol. 137(2), pages 577-614, April.
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Citations

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Cited by:
  1. �ureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 107-131, 05.
  2. Chiappori, Pierre-Andre & Komunjer, Ivana, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," University of California at San Diego, Economics Working Paper Series qt4v12m2rg, Department of Economics, UC San Diego.
  3. Xun Tang & Aureo de Paula, 2010. "Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information," 2010 Meeting Papers 1087, Society for Economic Dynamics.

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