Skip to main content

Duration Models and Point Processes

  • Chapter

Part of the book series: Advanced Studies in Theoretical and Applied Econometrics ((ASTA,volume 46))

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   349.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   449.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   449.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Abbring, J. and Van den Berg, G. (2003): The nonparametric identification of treatment effects in duration models, Econometrica , 71, 1491–1518.

    Article  Google Scholar 

  • Andersen, P.K. and Gill, R. (1982): Cox’s regression model for counting processes: a large sample study, Annals of Statistics, 10, 1100–1120.

    Article  Google Scholar 

  • Andersen, P.K., Borgan, O ., Gill, R.D. and Keiding, N. (1993): Statistical models based on counting processes. New-York: Springer.

    Google Scholar 

  • Basawa, I.V. and Prakasa Rao, B.L.S. (1980): Statistical inference of stochastic processes. New-York: Academic Press.

    Google Scholar 

  • Bhattacharya, R.N. and Waymire, E.C. (1990): Stochastic processes with applications. New-York: Wiley and Sons.

    Google Scholar 

  • Billingsley, P. (1961): Statistical inference for Markov processes. Chicago: The University of Chicago Press.

    Google Scholar 

  • Chung, K.L. (1967): Markov chains with stationary transition probabilities. New-York: Springer-Verlag.

    Google Scholar 

  • Cox, D.R. (1972): Regression models and life tables (with discussion), Journal of the Royal Statistical Society, Series B, 34, 187–220.

    Google Scholar 

  • Cox, D.R. (1975): Partial likelihood, Biometrika, 62, 269–276.

    Article  Google Scholar 

  • Cox, D.R. and Miller, H.D. (1966): The theory of stochastic processes. London: Methuen.

    Google Scholar 

  • Cox, D.R. and Oakes, D. (1984): Analysis of survival data . London: Chapman and Hall.

    Google Scholar 

  • Daley, D.J. and Vere-Jones, D. (1988): An introduction to the theory of point processes. New-York: Springer-Verlag.

    Google Scholar 

  • Dellacherie, C. and Meyer, P.A. (1980): Probabilité et potentiel (Chapitres V à VIII: Théorie des martingales). Paris: Hermann.

    Google Scholar 

  • Doob, J.L. (1953): Stochastic processes. New-York: Wiley and Sons.

    Google Scholar 

  • Elbers, C. and Ridder, G. (1982): True and spurious dependence: the identifiability of the proportional hazard model, Review of Economic Studies, 49, 403–409.

    Article  Google Scholar 

  • Ethier, S.N. and Kurtz, T.G. (1986): Markov processes: characterization and convergence. New-York: Wiley and Sons

    Google Scholar 

  • Fougère, D., Le Bihan, H. and Sevestre, P.\ (2007): Heterogenity in consumer price stickiness: a microeconometric approach, Journal of Business and Economic Statistics, 25, 247–264.

    Article  Google Scholar 

  • Fourgeaud, C., Gouriéroux, C. and Pradel, J. (1990): Heterogeneity and hazard dominance in duration data models (in french), Annales d’Economie et de Statistique, 18, 1–24.

    Article  Google Scholar 

  • Freedman, D. (1971): Markov chains. San Francisco: Holden-Day.

    Google Scholar 

  • Gill, R.D. (1980): Non-parametric estimation based on censored observations of a Markov renewal process, Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete, 53, 97–116.%

    Article  Google Scholar 

  • Han, A. and Hausman, J.A. (1990): Specification and semiparametric estimation of duration models, Journal of Applied Econometrics, 5, 1–28.

    Article  Google Scholar 

  • Heckman, J.J. and Honoré, B. (1989): The identifiability of the competing risks model, Biometrika, 76, 325–330.

    Article  Google Scholar 

  • Heckman, J.J. and Singer, B. (1984a): Econometric duration analysis, Journal of Econometrics, 24, 63–132.

    Article  Google Scholar 

  • Heckman, J.J. and Singer, B. (1984b): The identifiability of the proportional hazards model, Review of Economic Studies, 51 , 231–243.

    Google Scholar 

  • Honoré, B. (1993): Identification results for duration models with multiple spells, Review of Economic Studies, 60, 241–246.

    Article  Google Scholar 

  • Jacobsen, M. (1982): Statistical analysis of counting processes. Berlin: Springer-Verlag.

    Google Scholar 

  • Kalbfleisch, J.D., and Prentice, R.L. (1980): The statistical analysis of failure time data. New York: Wiley.

    Google Scholar 

  • Karr, A.F. (1986): Point processes and their statistical inference. New-York: Marcel Dekker.

    Google Scholar 

  • Kiefer, N. (1988): Economic duration data and hazard functions, Journal of Economic Literature, XXVI, 646–679.

    Google Scholar 

  • Kortram, R.A., Lenstra, A.J., Ridder, G. and Van Rooij A.C.M. (1995): Constructive identification of the mixed proportional hazards model, Statistica Neerlandica, 49, 269–281.

    Article  Google Scholar 

  • Lancaster, T. (1990): The Econometric analysis of transition data, Econometric Society Monographs, Cambridge University Press: New York.

    Google Scholar 

  • Lawless, J.F. (1982): Statistical models and methods for lifetime data. New York: Wiley.

    Google Scholar 

  • Marshall, A.W. and Olkin, I. (1967): A multivariate exponential distribution, Journal of the American Statistical Association, 62, 30–44.

    Article  Google Scholar 

  • Mátyás, L. and Sevestre, P. (editors)(1996): The econometrics of panel data, Second Revised Edition. Dordrecht: Kluwer Academic Publishers.

    Google Scholar 

  • Melino A. and Sueyoshi, G.T. (1990): A simple approach to the identifiability of the proportional hazard model, Economics Letters , 33, 63–68.

    Article  Google Scholar 

  • Mouchart, M. (2004), The econometrics of duration data and of point processes, Lecture Notes, http://www.stat.ucl.ac.be/ISpersonnel/mouchart/DuDa040908$b$.pdf

    Google Scholar 

  • Mouchart, M. and J.-M. Rolin (2002): Competing risks models: problems of modelling and of identification, in Life tables, modelling survival and death, edited by G. Wunsch, M. Mouchart and J. Duchêne, Dordrecht: Kluwer Academic Publishers, 245–267.

    Google Scholar 

  • Ridder G. (1990): The nonparametric identification of generalized accelerated failure-time models, Review of Economic Studies, 57, 167–181.

    Article  Google Scholar 

  • Revuz, D. (1975): Markov chains. New-York: North Holland/American Elsevier.

    Google Scholar 

  • Serfozo, R.F. (1990): Point processes, in Handbook in operations research and management science, Vol. 2, edited by D.P. Heyman and M.J. Sobel, Amsterdam: North-Holland, 1–94.

    Google Scholar 

  • Tsiatis, A.A. (1981): A large sample study of Cox’s regression model, Annals of Statistics, 9, 93–108.

    Article  Google Scholar 

  • Van den Berg G. (2001): Duration models: specification, identification and multiple durations, in Handbook of econometrics, Vol. 5, edited by J. Heckman and E.Leamer, Amsterdam: North-Holland, 3381–3460.

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and permissions

Copyright information

© 2008 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Florens, JP., Fougère, D., Mouchart, M. (2008). Duration Models and Point Processes. In: Mátyás, L., Sevestre, P. (eds) The Econometrics of Panel Data. Advanced Studies in Theoretical and Applied Econometrics, vol 46. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-75892-1_17

Download citation

Publish with us

Policies and ethics