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Often, the moment of a treatment and the moment at which the outcome of interest occurs are realizations of stochastic processes with dependent unobserved determinants. Notably, both treatment and outcome are characterized by the moment they occur. We compare different methods of inference of...
Persistent link: https://www.econbiz.de/10011574791
frameworks. timing-of-events method, bivariate duration analysis, selection bias …
Persistent link: https://www.econbiz.de/10013319822
exit risks and the duration until entry into treatment, the model can take account of selection into treatment and …
Persistent link: https://www.econbiz.de/10010479003
We propose a multiplex interdependent durations model with incomplete information structure. The model considers an empirical stopping game involving multiple agents making timing decisions. We characterize the unique Bayesian Nash equilibrium of the stopping game and show that the...
Persistent link: https://www.econbiz.de/10012934596
The correlated gamma-frailty model is a generalization of Cox' proportional hazard model, which allows for correlation between individuals within the same group. The nonparametric maximum likelihood estimator in this model has previously been studied by Murphy (1994, 1995) and Parner (1998)....
Persistent link: https://www.econbiz.de/10014186031
This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on...
Persistent link: https://www.econbiz.de/10014053485
This extensive Monte Carlo study re-examines properties of the nonparametric maximum likelihood estimator of discrete duration models with unobserved heterogeneity and unknown duration dependence. Alternative specifications and computation strategies are compared. We find: i) The inherent...
Persistent link: https://www.econbiz.de/10014200384
average treatment effects under noncompliance and dynamic selection, exploiting instrumental variation taking place during …
Persistent link: https://www.econbiz.de/10012997421
We propose a price duration based covariance matrix estimator using high frequency transactions data. The effect of the last-tick time-synchronisation methodology, together with effects of important market microstructure components is analysed through a comprehensive Monte Carlo study. To...
Persistent link: https://www.econbiz.de/10012921768
Ridder and Woutersen (2003) have shown that under a weak condition on the baseline hazard there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity....
Persistent link: https://www.econbiz.de/10013150359