'Interdependent Durations' Third Version

39 Pages Posted: 5 Nov 2009

See all articles by Bo E. Honoré

Bo E. Honoré

Princeton University - Department of Economics

Aureo de Paula

University College London - Department of Economics

Date Written: November 4, 2009

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 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.

Keywords: duration, empirical games, identification

JEL Classification: C10, C30, C41

Suggested Citation

Honore, Bo E. and de Paula, Aureo, 'Interdependent Durations' Third Version (November 4, 2009). PIER Working Paper No. 09-039, Available at SSRN: https://ssrn.com/abstract=1499918 or http://dx.doi.org/10.2139/ssrn.1499918

Bo E. Honore

Princeton University - Department of Economics ( email )

Princeton, NJ 08544-1021
United States

Aureo De Paula (Contact Author)

University College London - Department of Economics ( email )

Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom

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