Mixed Hitting-Time Models
研究了混合击中时间模型，该模型将持续时间定义为Lévy过程首次跨越异质性阈值的时间，证明了在存在观测协变量和未观测异质性时模型的可识别性，并讨论了删失数据推断和结构应用。
We study mixed hitting-time models that specify durations as the first time a Lévy process-a continuous-time process with stationary and independent incrementscrosses a heterogeneous threshold.Such models of substantial interest because they can be deduced from optimal-stopping models with heterogeneous agents that do not naturally produce a mixed proportional hazards structure.We show how strategies for analyzing the identifiability of the mixed proportional hazards model can be adapted to prove identifiability of a hitting-time model with observed covariates and unobserved heterogeneity.We discuss inference from censored data and give examples of structural applications.We conclude by discussing the relative merits of both models as complementary frameworks for econometric duration analysis.