Structural duration analysis of management data

Abstract In this paper, duration data are viewed as being generated jointly by a natural mechanism and an economic agent's optimizing behavior. Between the two competing forces only the force which comes first is realized as an observed duration, with the source identified. This paper uses a structural approach to derive explicitly the joint distribution of the two duration variables, providing a structural economic motivation for the continuous-time competing-risks model. Issues of estimation and identification are discussed. A small simulation study examines properties of the model and the parameter estimators.

[1]  Richard E. Barlow,et al.  Statistical Theory of Reliability and Life Testing: Probability Models , 1976 .

[2]  K. Wolpin.  Estimating a Structural Search Model: The Transition from School to Work , 1987 .

[3]  J. Heckman,et al.  Models for the Analysis of Labor Force Dynamics , 1982 .

[4]  I. Olkin,et al.  A Multivariate Exponential Distribution , 1967 .

[5]  G. J. van den Berg,et al.  Search Behaviour, Transitions to Nonparticipation and the Duration of Unemployment , 1990 .

[6]  A. Nádas.  On Estimating the Distribution of a Random Vector When Only the Smallest Coordinate Is Observable , 1970 .

[7]  A. W. Marshall,et al.  Shock Models and Wear Processes , 1973 .

[8]  Dale T. Mortensen,et al.  Chapter 15 Job search and labor market analysis , 1986 .

[9]  A. Wald.  Note on the Consistency of the Maximum Likelihood Estimate , 1949 .

[10]  A Mosleh,et al.  リスク評価及び信頼性解析における従属故障解析 | 文献情報 | J-GLOBAL 科学技術総合リンクセンター , 1983 .

[11]  T. W. Anderson,et al.  Identification of Parameters by the Distribution of a Maximum Random Variable , 1977 .

[12]  J. Heckman,et al.  New Methods for Analyzing Structural Models of Labor Force Dynamics , 1982 .

[13]  A. Nadas,et al.  The Distribution of the Identified Minimum of a Normal Pair Determines the Distribution of the Pair , 1971 .

[14]  Structural and Reduced-Form Models of Choice among Alternatives in Continuous Time: Youth Employment under a Guaranteed Jobs Program , 1986 .

[15]  J. Kalbfleisch,et al.  The Statistical Analysis of Failure Time Data , 1980 .

[16]  F. Proschan,et al.  Shock Models with Underlying Birth Process , 1975 .

[17]  P. Schmidt,et al.  Limited-Dependent and Qualitative Variables in Econometrics. , 1984 .

[18]  Frank Proschan,et al.  Some Reliability Applications of the Hazard Transform , 1970 .

[19]  F. Proschan,et al.  Nonstationary shock models , 1973 .

[20]  M. L. Moeschberger,et al.  Life Tests Under Dependent Competing Causes of Failure , 1974 .

[21]  A. W. Marshall,et al.  CLASSES OF DISTRIBUTIONS APPLICABLE IN REPLACEMENT, WITH RENEWAL THEORY IMPLICATIONS, , 1972 .

[22]  John Rust.  Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher , 1987 .

[23]  D. P. Gaver,et al.  Random Hazard in Reliability Problems , 1963 .