Mixed hitting-time models

Research output: Contribution to journalArticleScientificpeer-review

Abstract

We study mixed hitting-time models that specify durations as the first time a Lévy process—a continuous-time process with stationary and independent increments—crosses 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.
Original languageEnglish
Pages (from-to)783-819
JournalEconometrica
Volume80
Issue number2
Publication statusPublished - 2012

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Identifiability
Unobserved heterogeneity
Proportional hazards model
Econometrics
Censored data
Heterogeneous agents
Duration analysis
Optimal stopping
Inference
Continuous time
Proportional hazards
Covariates

Cite this

Abbring, J.H. / Mixed hitting-time models. In: Econometrica. 2012 ; Vol. 80, No. 2. pp. 783-819.
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Abbring, JH 2012, 'Mixed hitting-time models', Econometrica, vol. 80, no. 2, pp. 783-819.

Mixed hitting-time models. / Abbring, J.H.

In: Econometrica, Vol. 80, No. 2, 2012, p. 783-819.

Research output: Contribution to journalArticleScientificpeer-review

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T1 - Mixed hitting-time models

AU - Abbring, J.H.

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AB - We study mixed hitting-time models that specify durations as the first time a Lévy process—a continuous-time process with stationary and independent increments—crosses 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.

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JO - Econometrica

JF - Econometrica

SN - 0012-9682

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