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Interdependent Durations

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  • Bo E. Honor
  • Áureo De Paula

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 semi-parametrically identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model. Copyright , Wiley-Blackwell.

Suggested Citation

  • Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 1138-1163.
  • Handle: RePEc:oup:restud:v:77:y:2010:i:3:p:1138-1163
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    File URL: http://hdl.handle.net/10.1111/j.1467-937X.2009.00599.x
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Ruixuan Liu, 2016. "A Single-index Cox Model Driven by Levy Subordinators," Emory Economics 1602, Department of Economics, Emory University (Atlanta).
    2. Ruixuan Liu, 2016. "A Competing Risks Model with Time-varying Heterogeneity and Simultaneous Failure," Emory Economics 1603, Department of Economics, Emory University (Atlanta).
    3. Pierre-André Chiappori & Ivana Komunjer, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," Working Papers 2009-003, Becker Friedman Institute for Research In Economics.
    4. Abbring, J.H. & Ridder, G., 2011. "Regular Variation and the Identification of Generalized Accelerated Failure-Time Models," Discussion Paper 2011-135, Tilburg University, Center for Economic Research.
    5. Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
    6. Lalive, Rafael & Parrotta, Pierpaolo, 2017. "How does pension eligibility affect labor supply in couples?," Labour Economics, Elsevier, vol. 46(C), pages 177-188.
    7. repec:eee:jeborg:v:137:y:2017:i:c:p:113-131 is not listed on IDEAS
    8. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
    9. Áureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 107-131, May.
    10. Kline, Brendan, 2015. "Identification of complete information games," Journal of Econometrics, Elsevier, vol. 189(1), pages 117-131.

    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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; Optimal Timing Strategies

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