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Duration Models and Point Processes

Author

Listed:
  • Florens, Jean-Pierre

    (IDEI)

  • Fougère, Denis

    (Sciences Po, Paris)

  • Mouchart, Michel

    (Université catholique de Louvain)

Abstract

This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of explanatory variables. Competing risks models are presented in the third section. The fourth section is concerned with statistical inference, with a special emphasis on 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, namely Poisson, Markov and semi-Markov processes. The last section presents a general semi-parametric framework for studying point processes with explanatory variables.

Suggested Citation

  • Florens, Jean-Pierre & Fougère, Denis & Mouchart, Michel, 2007. "Duration Models and Point Processes," IZA Discussion Papers 2971, Institute of Labor Economics (IZA).
    • Handle: RePEc:iza:izadps:dp2971
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    References listed on IDEAS

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    1. R. A. Kortram & A. C. M. van Rooij & A. J. Lenstra & G. Ridder, 1995. "Constructive identification of the mixed proportional hazards model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 49(3), pages 269-281, November.
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    More about this item

    Keywords

    hazard function; duration models; semi-Markovian processes; point processes; Markov chains;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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