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"Interdependent Durations" Third Version

  • Bo E. Honoré

    ()

    (Department of Economics, Princeton University)

  • Aureo de Paula

    ()

    (Department of Economics, University of Pennsylvania)

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 semiparametrically 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/09-039.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 09-039.

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Length: 39 pages
Date of creation: 04 Nov 2009
Date of revision: 01 Feb 2008
Handle: RePEc:pen:papers:09-039
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  1. de Paula, Áureo, 2009. "Inference in a synchronization game with social interactions," Journal of Econometrics, Elsevier, vol. 148(1), pages 56-71, January.
  2. Leo K. Simon and Maxwell B. Stinchcombe., 1987. "Extensive Form Games in Continuous Time: Pure Strategies," Economics Working Papers 8746, University of California at Berkeley.
  3. Andreas Park & Lones Smith, 2006. "Caller Number Five: Timing Games that Morph from One Form to Another," Cowles Foundation Discussion Papers 1554, Cowles Foundation for Research in Economics, Yale University.
  4. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc.
  5. Coppejans, Mark, 2007. "On efficient estimation of the ordered response model," Journal of Econometrics, Elsevier, vol. 137(2), pages 577-614, April.
  6. Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
  7. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
  8. Sokbae 'Simon' Lee, 2003. "Estimating panel data duration models with censored data," CeMMAP working papers CWP13/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Joel L. Horowitz & Sokbae Lee, 2002. "Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A5-3, International Conferences on Panel Data.
  10. 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.
  11. Michael Rosholm & Michael Svarer, . "Structurally Dependent Competing Risks," Economics Working Papers 2000-11, School of Economics and Management, University of Aarhus.
  12. Lancaster, Tony, 1985. "Simultaneous equations models in applied search theory," Journal of Econometrics, Elsevier, vol. 28(1), pages 113-126, April.
  13. Ridder, Geert, 1990. "The Non-parametric Identification of Generalized Accelerated Failure-Time Models," Review of Economic Studies, Wiley Blackwell, vol. 57(2), pages 167-81, April.
  14. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-73, March.
  15. 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.
  16. Frijters, Paul, 2002. "The non-parametric identification of lagged duration dependence," Economics Letters, Elsevier, vol. 75(3), pages 289-292, May.
  17. Honore, Bo E, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 241-46, January.
  18. 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.
  19. Frederiksen, Anders & Honore, Bo E. & Hu, Luojia, 2007. "Discrete time duration models with group-level heterogeneity," Journal of Econometrics, Elsevier, vol. 141(2), pages 1014-1043, December.
  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. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  22. 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.
  23. 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.
  24. 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.
  25. Elie Tamer, 2003. "Incomplete Simultaneous Discrete Response Model with Multiple Equilibria," Review of Economic Studies, Wiley Blackwell, vol. 70(1), pages 147-165, January.
  26. Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
  27. Lee, M.J., 1990. "Median Regression For Ordered Discrete Response," Papers 9-90-11, Pennsylvania State - Department of Economics.
  28. James J. Heckman, 1977. "Dummy Endogenous Variables in a Simultaneous Equation System," NBER Working Papers 0177, National Bureau of Economic Research, Inc.
  29. Bresnahan, Timothy F. & Reiss, Peter C., 1991. "Empirical models of discrete games," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 57-81.
  30. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Wiley Blackwell, vol. 49(3), pages 403-09, July.
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