'Interdependent Durations', Second Version
37 Pages Posted: 12 Dec 2008
Date Written: November 1, 2008
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.
Keywords: duration, empirical games, identification
JEL Classification: C10, C30, C41
Suggested Citation: Suggested Citation