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Interdependent Durations

  • Bo Honore

    ()

    (Department of Economics, Princeton University)

  • Aureo de Paula

    ()

    (Department of Economics, University of Pennsylvania)

This paper studies the identification of a simultaneous equation model where the variable of interest is a duration measure. 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 a certain 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 point identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model.

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File URL: http://economics.sas.upenn.edu/system/files/working-papers/08-007.pdf
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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 08-007.

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Length: 27 pages
Date of creation: 19 Feb 2008
Date of revision:
Handle: RePEc:pen:papers:08-007
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  1. James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
  2. Lee, M.J., 1990. "Median Regression For Ordered Discrete Response," Papers 9-90-11, Pennsylvania State - Department of Economics.
  3. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
  4. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-73, March.
  5. Roger W. Klein & Robert P. Sherman, 2002. "Shift Restrictions and Semiparametric Estimation in Ordered Response Models," Econometrica, Econometric Society, vol. 70(2), pages 663-691, March.
  6. Joel Horowitz & Sokbae (Simon) Lee, 2002. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," CeMMAP working papers CWP21/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Rosholm, Michael & Svarer, Michael, 2001. "Structurally dependent competing risks," Economics Letters, Elsevier, vol. 73(2), pages 169-173, November.
  8. Paul Frijters, 2000. "The Non-Parametric Identification of Lagged Duration Dependence," Tinbergen Institute Discussion Papers 00-030/3, Tinbergen Institute.
  9. Simon, Leo K & Stinchcombe, Maxwell B, 1989. "Extensive Form Games in Continuous Time: Pure Strategies," Econometrica, Econometric Society, vol. 57(5), pages 1171-1214, September.
  10. Andreas Park & Lones Smith, 2004. "Caller Number Five: Timing Games that Morph From One Form to Another," 2004 Meeting Papers 871, Society for Economic Dynamics.
  11. 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.
  12. 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.
  13. Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
  14. 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.
  15. Heckman, James J & Borjas, George J, 1980. "Does Unemployment Cause Future Unemployment? Definitions, Questions and Answers from a Continuous Time Model of Heterogeneity and State Dependence," Economica, London School of Economics and Political Science, vol. 47(187), pages 247-83, August.
  16. 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.
  17. 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.
  18. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 57-81.
  19. Coppejans, Mark, 2007. "On efficient estimation of the ordered response model," Journal of Econometrics, Elsevier, vol. 137(2), pages 577-614, April.
  20. 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, 09.
  21. de Paula, Áureo, 2009. "Inference in a synchronization game with social interactions," Journal of Econometrics, Elsevier, vol. 148(1), pages 56-71, January.
  22. 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.
  23. Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
  24. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
  25. Lee, Sokbae, 2008. "Estimating Panel Data Duration Models With Censored Data," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1254-1276, October.
  26. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 147-165.
  27. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
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