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Interdependent Durations, Second Version

Author

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  • Bo E. Honore

    (Department of Economics, Princeton University)

  • Aureo de Paula

    (Department of Economics, University of Pennsylvania)

Abstract

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 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.

Suggested Citation

  • Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
    • Handle: RePEc:pen:papers:08-044
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    References listed on IDEAS

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    Cited by:

    1. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.

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    More about this item

    Keywords

    Keywords: duration; empirical games; identification;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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