Mixed Hitting-Time Models

Jaap H. Abbring ()

No 07-057/3, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We study a mixed hitting-time (MHT) model that specifies durations as the first time a Lévy process— a continuous-time process with stationary and independent increments— crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards (MPH) structure. We show how strategies for analyzing the MPH model's identifiability can be adapted to prove identifiability of an MHT model with observed regressors and unobserved heterogeneity. We discuss inference from censored data and extensions to time-varying covariates and latent processes with more general time and dependency structures. We conclude by discussing the relative merits of the MHT and MPH models as complementary frameworks for econometric duration analysis.

Keywords: duration analysis; hitting time; identifiability; Lévy process; mixture (search for similar items in EconPapers)
JEL-codes: C14 C41 (search for similar items in EconPapers)
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Related works:
Working Paper: Mixed hitting-time models (2007)
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