Mixed Hitting-Time Models
Jaap H. Abbring
Free University Amsterdam
August 1, 2009
Tinbergen Institute Discussion Paper No. 2007-057/3
CentER Discussion Paper Series No. 2009-62
We study mixed hitting-time models, which specify durations as the first time a Lévy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models of substantial interest because they can be reduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure. We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted to prove identifiability of a hitting-time model with observed covariates and unobserved heterogeneity. We discuss inference from censored data and give examples of structural applications. We conclude by discussing the relative merits of both models as complementary frameworks for econometric duration analysis.
Number of Pages in PDF File: 53
Keywords: duration analysis, hitting time, identifiability, Lévy process, mixture
JEL Classification: C14, C41working papers series
Date posted: July 30, 2007 ; Last revised: August 4, 2009
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