Consistent Evidence on Duration Dependence of Price Changes
提出一个离散时间混合比例风险模型的线性GMM估计量，允许未观测异质性、竞争风险和删失，应用于价格持续时间数据，发现未观测异质性对货币政策冲击的产出响应和价格计划的状态依赖性有重要影响。
We develop a linear GMM estimator of the discrete-time mixed proportional hazard (MPH) model of duration with an arbitrary distribution of unobserved heterogeneity. We allow for competing risks, observable characteristics, and censoring. We prove our estimator is consistent and apply it to the duration of price spells. We find substantial unobserved heterogeneity with economically meaningful implications for the response of output to a monetary policy shock in a model with time-dependent pricing rules and for the degree of state dependence in a model of price plans.