Duration Models and Point Processes

Jean-Pierre Florens, Denis Fougere and Michel Mouchart ()
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Michel Mouchart: Université catholique de Louvain

No 2971, IZA Discussion Papers from Institute of Labor Economics (IZA)

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: hazard function; duration models; semi-Markovian processes; point processes; Markov chains (search for similar items in EconPapers)
JEL-codes: C33 C41 C44 C51 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2007-08
New Economics Papers: this item is included in nep-ecm
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Published - published in: Patrick Sevestre and Lazlo Matyas (eds.), The Econometrics of Panel Data: Handbook of Theory and Applications, 3rd edition, Springer, 2008, 547-601

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Working Paper: Duration Models and Point Processes (2007)
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