Identification of Multiplex Interdependent Durations Model

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 interdependence of durations is specified by a system of simultaneous equations involving the conditional marginal distributions of each duration. This system of simultaneous equations is a generalization of the univariate transformation model. We obtain constructive identification results of the interdependent parameters and nonparametric model primitives