"Interdependent Durations" Third Version

Bo Honoré () and Aureo de Paula
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Bo Honoré: 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 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 (search for similar items in EconPapers)
JEL-codes: C10 C30 C41 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2009-11-04, Revised 2008-02-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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