Modelling Dynamic Durations Using the Self-Exciting Process

14:00-16:00, Monday, May 25, 2020

Tencent Meeting (Meeting ID: 259 237 142)

20200518025355.jpgDr. Yuhao LI is now an Assistant Professor at Economics and Management School, Wuhan University. He obtained his Ph.D. in Economics from Universidad Carlos III de Madrid in 2019. His fields of interest include Applied Econometrics, Labor and Health Economics.

We propose a dynamic durations modelling framework. This framework is based on the self-exciting process, which is a special counting process whose filtration includes a sigma-algebra generated by the process itself. This framework could include a rich varieties of state-dependent effects and could allow a flexible dependent structure among durations. One could even introduce external shocks into the model if there is no unobserved heterogeneity. When the unobserved heterogeneity is present, we adopt a fixed effect way to separate it from the state-dependence. The separation strategy is similar to the one used in the dynamic panel models, and could be extended to study such models. We apply our methodology to study two important empirical cases: heath care utilization under a shadow price scheme and the work absence behaviors. We find that individuals will react to the shadow price and workers may or may not take the absence history into decision making process depending on the types of absences.

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