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This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of...
In this article we propose and implement an instrumental variable estimation procedure to obtain treatment effects on duration outcomes. The method can handle the typical complications that arise with duration data of time-varying treatment and censoring. The treatment effect we define is in...
This chapter studies the microeconometric treatment-effect and structural approaches to dynamic policy evaluation. First, we discuss a reduced-form approach based on a sequential randomization or dynamic matching assumption that is popular in biostatistics. We then discuss two complementary...
This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relation- ship between the probability to observe a transaction at each instant of time and the type of the previous trade is...