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Mixed hitting-time models

  • Jaap Abbring

    (Institute for Fiscal Studies and Tinbergen Institute)

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards (MPH) structure. We show how strategies for analyzing the MPH model's identifiability can be adapted to prove identifiability of an MHT model with observed regressors and unobserved heterogeneity. We discuss inference from censored data and extensions to time-varying covariates and latent processes with more general time and dependency structures. We conclude by discussing the relative merits of the MHT and MPH models as complementary frameworks for econometric duration analysis.

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File URL: http://cemmap.ifs.org.uk/wps/cwp1507.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP15/07.

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Date of creation: Jul 2007
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Handle: RePEc:ifs:cemmap:15/07
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  1. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
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