Mixed Hitting-Time Models

• 成果类型: Article
• 署名作者: Abbring, Jaap H.
• 署名单位: Tilburg University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA7312
• 发表日期: 2012
• 页码: 783-819
• 关键词: dynamic discrete-choice; unemployment-insurance; duration; identification; survival; Identifiability; regression

摘要

We study mixed hitting-time models that specify durations as the first time a Levy processa continuous-time process with stationary and independent incrementscrosses a heterogeneous threshold. Such models are of substantial interest because they can be deduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure. We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted to prove identifiability of a hitting-time model with observed covariates and unobserved heterogeneity. We discuss inference from censored data and give examples of structural applications. We conclude by discussing the relative merits of both models as complementary frameworks for econometric duration analysis.