Mixed hitting-time models

Jaap Abbring

No CWP15/07, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy 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.

JEL-codes: C14 C41 (search for similar items in EconPapers)
Date: 2007-07-26
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Mixed Hitting‐Time Models (2012)
Working Paper: Mixed Hitting-Time Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:15/07

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