'Interdependent Durations' Third Version

Bo E. Honore, Aureo de Paula
2009 Social Science Research Network  
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
more » ... ze 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 semiparametrically identified. We also present a brief discussion of estimation ideas and a set of simulation studies on the model.
doi:10.2139/ssrn.1499918 fatcat:5thfqka4cfeutehqxrnciubyl4