Duration Models and Point Processes

61 Pages Posted: 1 Sep 2007

See all articles by Jean-Pierre Florens

Jean-Pierre Florens

University of Toulouse

Denis Fougère

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE); National Center for Scientific Research (CNRS); IZA Institute of Labor Economics

Michel Mouchart

Catholic University of Louvain (UCL) - School of Statistics

Date Written: August 2007

Abstract

This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of explanatory variables. Competing risks models are presented in the third section. The fourth section is concerned with statistical inference, with a special emphasis on non- and semi-parametric estimation of single-spell duration models. Section 5 sets forth the main definitions for point and counting processes. Section 6 presents important elementary examples of point processes, namely Poisson, Markov and semi-Markov processes. The last section presents a general semi-parametric framework for studying point processes with explanatory variables.

Keywords: duration models, hazard function, point processes, Markov chains, semi-Markovian processes

JEL Classification: C41, C33, C44, C51

Suggested Citation

Florens, Jean-Pierre and Fougere, Denis and Mouchart, Michel, Duration Models and Point Processes (August 2007). IZA Discussion Paper No. 2971, Available at SSRN: https://ssrn.com/abstract=1011133

Jean-Pierre Florens

University of Toulouse ( email )

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Denis Fougere (Contact Author)

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) ( email )

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IZA Institute of Labor Economics

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Michel Mouchart

Catholic University of Louvain (UCL) - School of Statistics ( email )

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Belgium

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