arXiv 9 May 2019 · Econometrics · publishedJournal of Econometrics (2021) · 4 citations (OpenAlex)
arXiv:1905.03463 · PDF · DOI · OpenAlex · Extracted main text
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but its Laplace transform is. Our approach to its computation relies on numerical methods for inverting Laplace transforms that exploit special properties of the first passage times of L\'evy processes. We use our method to implement a maximum likelihood estimator of the mixed hitting-time model in MATLAB. We illustrate the application of this estimator with an analysis of Kennan's (1985) strike data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Kennan, J (1985) The duration of contract strikes in U.S. manufacturing | 1.000 | 21 | 5 | 100% |
| 2 | Abbring, J. H. (2012, March) (2012) Mixed hitting-time models self | 1.000 | 19 | 3 | 100% |
| 3 | Rogers, L. C. G (2000) Evaluating first-passage probabilities for spectrally one-sided Lévy processes | 0.874 | 8 | 2 | 100% |
| 4 | Lee, M.-L. T. and G. A. Whitmore (2006) Threshold regression for survival analysis: Modeling event times by a stochastic process reaching a boundary | 0.843 | 3 | 3 | 100% |
| 5 | Lancaster, T (1979) Econometric methods for the duration of unemployment | 0.811 | 4 | 2 | 100% |
| 6 | Heckman, J. J. and B. Singer (1984) A method for minimizing the impact of distributional assumptions in econometric models for duration data | 0.737 | 3 | 2 | 100% |
| 7 | Cox, D. R (1972) Regression models and life-tables (with discussion) | 0.737 | 3 | 2 | 100% |
| 8 | Singleton, K. J (2001) Estimation of affine asset pricing models using the empirical characteristic function | 0.737 | 3 | 2 | 100% |
| 9 | Andersen, P. K., . Borgan, R. D. Gill, and N. Keiding (1993) Statistical Models Based on Counting Processes | 0.737 | 3 | 2 | 100% |
| 10 | Bertoin, J (1996) Lévy Processes | 0.693 | 7 | 1 | 100% |
Showing the top 10 of 33 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Interdependent Hitting Times | 1.000 | 6 | 3 |