Interdependent Durations

Bo E. Honoré, Áureo De Paula

Research output: Contribution to journalArticle

14 Scopus citations

Abstract

This paper studies the identification of a simultaneous equation model involving duration measures. 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 an 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 semi-parametrically identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model.

Original languageEnglish (US)
Pages (from-to)1138-1163
Number of pages26
JournalReview of Economic Studies
Volume77
Issue number3
DOIs
StatePublished - Jul 2010

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Interdependent Durations'. Together they form a unique fingerprint.

  • Cite this