We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy process - a continuous-time process with stationary and independent increments - crosses a heterogeneous threshold. Such models are of substantial interest because they can be reduced from...

Economic theory suggests that an extension of the maximum length of entitlement for unemployment benefits increases the duration of unemployment. Empirical results for the reform of the unemployment compensation system in Germany during the 1980s are less clear. The analysis in this paper is...

This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finitedimensional families of functions. Existing...

Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...

This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. The proposed model also has the feasure that it will generate equal durations with...

We consider the misreporting of illicit drug use and juvenile smoking in self-report surveys and its consequences for statistical inference. Panel data containing repeated self-reports of 'lifetime' prevalence give unambiguous evidence of misreporting as 'recanting' of earlier reports of drug...

<p><p>We study linear factor models under the assumptions that factors are mutually independent and independent of errors, and errors can be correlated to some extent. Under factor non-Gaussianity, second to fourth-order moments are shown to yield full identification of the matrix of factor loadings....</p></p>

<p><p>We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...</p></p>

For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x,w) = h[g(x),w], g is linearly homogeneous and h is monotonic in g. This...

<p>This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's...</p>