Interdependent Durations

Bo Honore () and Aureo de Paula
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Bo Honore: Department of Economics, Princeton University

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: This paper studies the identification of a simultaneous equation model where the variable of interest is a duration measure. 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 (search for similar items in EconPapers)
JEL-codes: C10 C30 C41 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008-02-19
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Journal Article: Interdependent Durations (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:08-007

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