A MULTIPLEX INTERDEPENDENT DURATIONS MODEL. (9th December 2021)

• Record Type: Journal Article
• Authors: Lin, Zhongjian; Liu, Ruixuan
• Is Part Of: Econometric theory. Volume 37:Number 6(2021)
• Page Start: 1238
• Page End: 1266
• Publication Date: 2021-12-09
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466620000420
• Languages: English
• ISSNs: 0266-4666

Abstract

Abstract : We propose a multiplex interdependent durations model and study its empirical content. The model considers an empirical stopping game of multiple agents making optimal timing decisions with incomplete information. We characterize the unique Bayesian Nash equilibrium of the stopping game in a system of simultaneous equations involving the conditional distribution of each duration with a moderate strategic interaction condition. The system of nonlinear simultaneous equations allows us to obtain constructive identification results of the interaction effects and other nonparametric model primitives. We propose two consistent semiparametric estimation methods based on different parameterizations of modeling components with right-censored duration data.