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Duration Models and Point Processes

Author

Listed:
  • Jean-Pierre Florens

    (Crest)

  • Denis Fougère

    (Crest)

  • Julien Pouget

    (Crest)

  • Michel Mouchart

    (Crest)

Abstract

This survey is devoted to the statistical analysis of duration models and pointprocesses. The first section introduces specific concepts and definitions forsingle-spell duration models. Section two is devoted to the presentation ofconditional duration models which incorporate the effects of explanatoryvariables. Competing risks models are presented in the third section. Thefourth section is concerned with statistical inference, with a special emphasison non- and semi- parametric estimation of single-spell duration models.Section 5 sets forth the main definitions for point and counting processes.Section 6 presents important elementary examples of point processes, namelyPoisson, Markov and semi-Markov processes. The last section presents ageneral semi-parametric framework for studying point processes withexplanatory variables.

Suggested Citation

  • Jean-Pierre Florens & Denis Fougère & Julien Pouget & Michel Mouchart, 2007. "Duration Models and Point Processes," Working Papers 2007-37, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2007-37
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    References listed on IDEAS

    as
    1. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-679, June.
    2. Geert Ridder, 1990. "The Non-Parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Oxford University Press, vol. 57(2), pages 167-181.
    3. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
    4. J. Heckman & B. Singer, 1984. "The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 51(2), pages 231-241.
    5. Bo E. Honoré, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 241-246.
    6. 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.
    7. Melino, Angelo & Sueyoshi, Glenn T., 1990. "A simple approach to the identifiability of the proportional hazards model," Economics Letters, Elsevier, vol. 33(1), pages 63-68, May.
    8. 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.
    9. Chris Elbers & Geert Ridder, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 49(3), pages 403-409.
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    More about this item

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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