Michael Beauregard Seminar in Macroeconomics: Consistent Evidence on Duration Dependence of Price Changes, joint with Fernando Alvarez and Robert Shimer
Katarína Borovičková, New York University
Wednesday, March 17, 2021
4:00-5:00 PM
Virtual
Abstract:
We consider a discrete time mixed proportional hazard (MPH) model of duration. We prove that the baseline hazard and the frailty distribution of unobserved heterogeneity are nonparametrically identified using multiple-spell data, and use this to develop a GMM estimator of the baseline hazard. Our approach imposes no restrictions on the shape of the baseline hazard or the unobserved frailty distribution, allows for competing risks and spell-specific observable characteristics, and applies to right-censored data. The GMM specification is linear in the baseline hazard, which makes estimation and inference straightforward. We also develop tests of whether the MPH model is the data generating process.
*To join the seminar, please contact at econ.events@umich.edu
We consider a discrete time mixed proportional hazard (MPH) model of duration. We prove that the baseline hazard and the frailty distribution of unobserved heterogeneity are nonparametrically identified using multiple-spell data, and use this to develop a GMM estimator of the baseline hazard. Our approach imposes no restrictions on the shape of the baseline hazard or the unobserved frailty distribution, allows for competing risks and spell-specific observable characteristics, and applies to right-censored data. The GMM specification is linear in the baseline hazard, which makes estimation and inference straightforward. We also develop tests of whether the MPH model is the data generating process.
*To join the seminar, please contact at econ.events@umich.edu
| Building: | Off Campus Location |
|---|---|
| Location: | Virtual |
| Event Type: | Workshop / Seminar |
| Tags: | Economics, seminar |
| Source: | Happening @ Michigan from Department of Economics, Michael Beauregard Seminar in Macroeconomics |
