Consistent Evidence on Duration Dependence of Price Changes
收藏NBER2021-08-01 更新2025-01-04 收录
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https://www.nber.org/papers/w29112
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资源简介：
We develop an estimator and tests of a discrete time mixed proportional hazard (MPH) model of duration with unobserved heterogeneity. We allow for competing risks, observable characteristics, and censoring, and we use linear GMM, making estimation and inference straightforward. With repeated spell
提供机构：
美国国家经济研究局
创建时间：
2021-08-01
