• 学生活动

    学生活动

Mixed Hitting-Time Models

主讲人: Jaap H. Abbring
主讲人简介: Jaap H. Abbring (Tilburg University)
简介: We study a mixed hitting-time (MHT) model that specifies durations as the firsttime a Levy 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.
时间: 2008年10月14日(周二)18:15-19:30
地点: 经济楼D110
类型: 独立讲座
联系人信息: