This note describes how the (single-spell) identification result of the timing-of-events model by Abbring and Van den Berg (2003b) can be extended to a model that accommodates several competing exit risks. The extended model can be used for example to distinguish between the different effects of...

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...

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...

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. In this paper, we compare different methods of...

This paper proposes a threshold stochastic conditional duration (SCD) model for financial data at the transaction level. In addition to assuming that the innovations of the duration process follow a threshold distribution with positive support, we also assume that the latent first-order...

Survival analysis problems have elsewhere been recast as problems in logistic regression, after the event times were grouped into intervals. Here we discuss the opposite connection: how binary logistic regression can be viewed fruitfully as a special case of accelerated failure time models in...

In a duration analysis, the time of enterprises functioning, i.e. from the foundation to their liquidation, is represented by a random variable. The basic characteristic functions used for time description include: density function, distribution function, survival function and hazard function....

This paper proposes a threshold stochastic conditional duration (TSCD) model to capture the asymmetric property of financial transactions. The innovation of the observable duration equation is assumed to follow a threshold distribution with two component distributions switching between two...

This paper provides an up-to-date survey of the main theoretical developments in ACD modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of...

This paper considers the statistical analysis of large panel data sets where even after condi-tioning on common observed effects the cross section units might remain dependently distrib-uted. This could arise when the cross section units are subject to unobserved common effects and/or if there...