A Multiplex Interdependent Durations Model

Econometric Theory

31 Pages Posted: 1 Mar 2017 Last revised: 8 Jun 2021

See all articles by Zhongjian Lin

Zhongjian Lin

Emory University - Department of Economics

Ruixuan Liu

Emory University - Department of Economics

Date Written: September 4, 2020

Abstract

We propose a multiplex interdependent durations model and study its empirical content. The model considers an empirical stopping game of multiple agents making optimal timing decisions with incomplete information. We characterize the unique Bayesian Nash equilibrium of the stopping game in a system of simultaneous equations involving the conditional distribution of each duration with a moderate strategic interaction condition. The system of nonlinear simultaneous equations allows us to obtain constructive identification results of the interaction effects and other nonparametric model primitives. We propose two consistent semiparametric estimation methods based on different parameterizations of modeling components with right-censored duration data.

Keywords: Multiplex Interdependent Durations, Simultaneous Equations, Additive-multiplicative Hazard Model

JEL Classification: C31, C41, C57, C62

Suggested Citation

Lin, Zhongjian and Liu, Ruixuan, A Multiplex Interdependent Durations Model (September 4, 2020). Econometric Theory, Available at SSRN: https://ssrn.com/abstract=2923778 or http://dx.doi.org/10.2139/ssrn.2923778

Zhongjian Lin (Contact Author)

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

Ruixuan Liu

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
59
Abstract Views
515
rank
481,843
PlumX Metrics