Duration Models and Point Processes

Jean-Pierre Florens, Denis Fougere, Julien Pouget and Michel Mouchart
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Jean-Pierre Florens: Crest
Julien Pouget: Crest
Michel Mouchart: Crest

No 2007-37, Working Papers from Center for Research in Economics and Statistics

Abstract: This survey is devoted to the statistical analysis of duration models and pointprocesses. The first section introduces specific concepts and definitions forsingle-spell duration models. Section two is devoted to the presentation ofconditional duration models which incorporate the effects of explanatoryvariables. Competing risks models are presented in the third section. Thefourth section is concerned with statistical inference, with a special emphasison 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, namelyPoisson, Markov and semi-Markov processes. The last section presents ageneral semi-parametric framework for studying point processes withexplanatory variables.

Pages: 60
Date: 2007
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Working Paper: Duration Models and Point Processes (2007)
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