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Interdependent Durations, Second Version

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Author Info
Bo E. 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 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 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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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 08-044.

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Length: 37 pages
Date of creation: 24 Apr 2007
Date of revision: 01 Nov 2008
Handle: RePEc:pen:papers:08-044

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Related research
Keywords: Keywords: duration; empirical games; identification;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis

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    Other versions:
  2. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-73, March. [Downloadable!] (restricted)
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  12. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Blackwell Publishing, vol. 49(3), pages 403-09, July. [Downloadable!] (restricted)
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  20. Heckman, James J, 1978. "Dummy Endogenous Variables in a Simultaneous Equation System," Econometrica, Econometric Society, vol. 46(4), pages 931-59, July. [Downloadable!] (restricted)
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  21. 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. [Downloadable!] (restricted)
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