Mixed Hitting-Time Models

IZA Logo

IZA Seminar

Place: Schaumburg-Lippe-Str. 9, 53113 Bonn

Date: 14.10.2008, 12:15 - 13:30


Presentation by 

Jaap H. Abbring (Tilburg University)


We study a mixed hitting-time (MHT) model that specifies durations as the firsttime a L´evy process— a continuous-time process with stationary and independentincrements— crosses a heterogeneous threshold. Such models are of substantialinterest because they can be reduced from optimal-stopping models with heterogeneousagents that do not naturally produce a mixed proportional hazards (MPH)structure. We show how strategies for analyzing the MPH model’s identifiabilitycan be adapted to prove identifiability of an MHT model with observed regressorsand unobserved heterogeneity. We discuss inference from censored data and extensionsto time-varying covariates and latent processes with more general time anddependency structures. We conclude by discussing the relative merits of the MHTand MPH models as complementary frameworks for econometric duration analysis.

Download complete paper   
For more information, please contact seminar@iza.org