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"Interdependent Durations" Third Version

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Author Info

  • Bo E. Honoré

    ()
    (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 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 semiparametrically 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 09-039.

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Length: 39 pages
Date of creation: 04 Nov 2009
Date of revision: 01 Feb 2008
Handle: RePEc:pen:papers:09-039

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Keywords: duration; empirical games; identification;

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References

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  2. Geert Ridder & Tiemen Woutersen, 2002. "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model," UWO Department of Economics Working Papers 20026, University of Western Ontario, Department of Economics.
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  4. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc.
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  7. Anders Frederiksen & Bo E. Honoré & Luojia Hu, 2006. "Discrete Time Duration Models with Group-level Heterogeneity," Discussion Papers 05-008, Stanford Institute for Economic Policy Research.
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  10. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
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  15. Frijters, Paul, 2002. "The non-parametric identification of lagged duration dependence," Economics Letters, Elsevier, vol. 75(3), pages 289-292, May.
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  23. Aureo de Paula, 2004. "Inference in a Synchronization Game with Social Interactions," PIER Working Paper Archive 07-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 May 2007.
  24. Lancaster, Tony, 1985. "Simultaneous equations models in applied search theory," Journal of Econometrics, Elsevier, vol. 28(1), pages 113-126, April.
  25. 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.
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