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Interdependent Durations

Author

Listed:
  • Bo Honore

    (Department of Economics, Princeton University)

  • Aureo de Paula

    (Department of Economics, University of Pennsylvania)

Abstract

This paper studies the identification of a simultaneous equation model where the variable of interest is a duration measure. It proposes a game theoretic model in which durations are determined by strategic agents. In the absence of strategic motives, the model delivers a version of the generalized accelerated failure time model. In its most general form, the system resembles a classical simultaneous equation model in which endogenous variables interact with observable and unobservable exogenous components to characterize a certain economic environment. In this paper, the endogenous variables are the individually chosen equilibrium durations. Even though a unique solution to the game is not always attainable in this context, the structural elements of the economic system are shown to be semiparametrically point identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model.

Suggested Citation

  • Bo Honore & Aureo de Paula, 2008. "Interdependent Durations," PIER Working Paper Archive 08-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Handle: RePEc:pen:papers:08-007
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Abbring, J.H. & Ridder, G., 2011. "Regular Variation and the Identification of Generalized Accelerated Failure-Time Models," Discussion Paper 2011-135, Tilburg University, Center for Economic Research.
    2. Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
    3. Lalive, Rafael & Parrotta, Pierpaolo, 2017. "How does pension eligibility affect labor supply in couples?," Labour Economics, Elsevier, vol. 46(C), pages 177-188.
    4. Chiappori, Pierre-Andre & Komunjer, Ivana, 2008. "Correct Specification and Identification of Nonparametric Transformation Models," University of California at San Diego, Economics Working Paper Series qt4v12m2rg, Department of Economics, UC San Diego.
    5. De Silva, Dakshina G. & Kosmopoulou, Georgia & Lamarche, Carlos, 2017. "Subcontracting and the survival of plants in the road construction industry: A panel quantile regression analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 137(C), pages 113-131.
    6. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
    7. Áureo de Paula, 2013. "Econometric Analysis of Games with Multiple Equilibria," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 107-131, May.
    8. Abbring, J.H. & Ridder, G., 2011. "Regular Variation and the Identification of Generalized Accelerated Failure-Time Models," Other publications TiSEM 7f418710-6002-4017-b7da-6, Tilburg University, School of Economics and Management.
    9. Kline, Brendan, 2015. "Identification of complete information games," Journal of Econometrics, Elsevier, vol. 189(1), pages 117-131.

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    More about this item

    Keywords

    duration; empirical games; identification;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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