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Interdependent Hitting Times

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  • Jaap H. Abbring
  • Yifan Yu

Abstract

This paper studies interdependent durations as equilibrium outcomes of a synchronization game, a continuous-time stopping game in which the incentive to stop increases when other players stop. We allow the payoffs to vary with both common shocks and observed and unobserved agent characteristics. The common shocks follow a spectrally negative L\'evy process, a semiparametric process that includes Brownian motion as a special case but may also have jumps. We show that equilibrium outcomes can be represented as interdependent hitting times and use this to establish the game's nonparametric identification from data on stopping times and covariates. We develop maximum simulated likelihood and method of simulated moments estimators and evaluate their finite-sample and computational performance in Monte Carlo experiments. The results provide a tractable framework for identifying and estimating synchronization games from interdependent duration data.

Suggested Citation

  • Jaap H. Abbring & Yifan Yu, 2026. "Interdependent Hitting Times," Papers 2606.06251, arXiv.org, revised Jun 2026.
    • Handle: RePEc:arx:papers:2606.06251
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    References listed on IDEAS

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    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474, December.
    2. 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, September.
    3. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
    4. Andreas E. Kyprianou, 2006. "Introductory Lectures on Fluctuations of Lévy Processes with Applications," Springer Books, Springer, number 978-3-540-31343-4, January.
    5. Pauli Murto, 2004. "Exit in Duopoly Under Uncertainty," RAND Journal of Economics, The RAND Corporation, vol. 35(1), pages 111-127, Spring.
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