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Duration Models (duration + models)
Selected AbstractsAUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATUREJOURNAL OF ECONOMIC SURVEYS, Issue 4 2008Maria Pacurar Abstract This paper provides an up-to-date survey of the main theoretical developments in autoregressive conditional duration (ACD) modeling and empirical studies using financial data. First, we discuss the properties of the standard ACD specification and its extensions, existing diagnostic tests, and joint models for the arrival times of events and some market characteristics. Then, we present the empirical applications of ACD models to different types of events, and identify possible directions for future research. [source] Selection Bias and Continuous-Time Duration Models: Consequences and a Proposed SolutionAMERICAN JOURNAL OF POLITICAL SCIENCE, Issue 1 2006Frederick J. Boehmke This article analyzes the consequences of nonrandom sample selection for continuous-time duration analyses and develops a new estimator to correct for it when necessary. We conduct a series of Monte Carlo analyses that estimate common duration models as well as our proposed duration model with selection. These simulations show that ignoring sample selection issues can lead to biased parameter estimates, including the appearance of (nonexistent) duration dependence. In addition, our proposed estimator is found to be superior in root mean-square error terms when nontrivial amounts of selection are present. Finally, we provide an empirical application of our method by studying whether self-selectivity is a problem for studies of leaders' survival during and following militarized conflicts. [source] The SCoD Model: Analyzing Durations with a Semiparametric Copula Approach,INTERNATIONAL REVIEW OF FINANCE, Issue 1-2 2005CORNELIA SAVU ABSTRACT This paper applies a new methodology for modeling order durations of ultra-high-frequency data using copulas. While the class of common Autoregressive Conditional Duration models are characterized by strict parameterizations and high computational burden, the semiparametric copula approach proposed here offers more flexibility in modeling the dynamic duration process by separating the marginal distributions of waiting times from their temporal dependence structure. Comparing both frameworks as to their density forecast abilities, the Semiparametric Copula Duration model clearly shows a better performance. [source] The impact of operational characteristics on firms' EMS decisions: strategic adoption of ISO 14001 certificationsCORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT, Issue 4 2010Takuya Takahashi Abstract Firms choose to seek environmental management system (EMS) certifications such as ISO 14001 for a variety of reasons. In this paper we put forward a hypothesis that firms seek ISO 14001 certifications for their establishments when their operations involve low degrees of complexity. Another hypothesis we consider is that firms facing more uncertainty in their operations (and hence more risk) seek ISO 14001 certifications. These hypotheses have not been yet addressed in the literature and are of particular interest to business managers and policymakers. We empirically test these hypotheses using probit and duration models using matched establishment,firm,industry data for large Japanese manufacturers. Our findings support the first as well as the second hypotheses. This suggests that firms tend to certify more routine and less complex operations first, and that firms use ISO 14001 certifications as an insurance scheme. Copyright © 2009 John Wiley & Sons, Ltd and ERP Environment. [source] Dration Models to Analyze Dating Relationships: The Controversial Role of Gift GivingFAMILY & CONSUMER SCIENCES RESEARCH JOURNAL, Issue 4 2000Ming-Hui Huang Gifts are proclaimed to play a vital role in making dating relationships last. In this article, however, the authors look at not only the beneficial but also the detrimental effects of gift giving in relationships. To explore the double-edged effects of gifts, this study conceptualizes gift giving in dating relationships as including three aspects: self-gift, interpersonal gift exchange, and jointgift possession. Econometric duration models are used to suggest implications for individuals. It is found that using gifts to enhance the self, express love, and announce relationships,at the proper level of frequency,helps to ensure that a relationship will be successful and lasting. When used too frequently or too rarely, gifts can result in self-depreciation, create anxiety, and spoil relationships. Individuals are advised not to consume gifts indiscriminately and thereby induce negative effects. [source] Always Poor or Never Poor and Nothing in Between?GERMAN ECONOMIC REVIEW, Issue 2 2010Duration of Child Poverty in Germany Child poverty; duration analysis; unobserved heterogeneity Abstract. This paper analyses the duration of child poverty in Germany. Observing the entire income history from the individuals' birth to their coming of age at age 18, we are able to analyse dynamics in and out of poverty for the entire population of children, whether they become poor at least once or not. Using duration models, we find that household composition, most importantly single parenthood, and the labour market status as well as level of education of the household head are the main driving forces behind exit from and re-entry into poverty and thus determine the (long-term) experience of poverty. [source] Analyst Impartiality and Investment Banking RelationshipsJOURNAL OF ACCOUNTING RESEARCH, Issue 4 2005PATRICIA C. O'BRIEN ABSTRACT This study examines whether investment banking ties influence the speed with which analysts convey unfavorable news. We hypothesize that affiliated analysts have incentives to respond promptly to good news but prefer not to issue bad news about client companies. Using duration models of the time between an equity issue and the first downgrade, we find affiliated analysts are slower to downgrade from Buy and Hold recommendations and significantly faster to upgrade from Hold recommendations, in both within-analyst and within-issuer tests. We also find affiliated analysts issue recommendations sooner and more frequently after an offering than unaffiliated analysts, and that unaffiliated analysts are more likely than affiliated analysts to drop coverage of sample firms. Our findings indicate that banking ties increase analysts' reluctance to reveal negative news, and that reform efforts must carefully consider the incentives of affiliated and unaffiliated analysts to initiate coverage and convey the results of their research. [source] Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process priorJOURNAL OF APPLIED ECONOMETRICS, Issue 1 2001Michele Campolieti This paper proposes a Bayesian estimator for a discrete time duration model which incorporates a non-parametric specification of the unobserved heterogeneity distribution, through the use of a Dirichlet process prior. This estimator offers distinct advantages over the Nonparametric Maximum Likelihood estimator of this model. First, it allows for exact finite sample inference. Second, it is easily estimated and mixed with flexible specifications of the baseline hazard. An application of the model to employment duration data from the Canadian province of New Brunswick is provided. Copyright © 2001 John Wiley & Sons, Ltd. [source] An Empirical Analysis of Strike Durations in Ghana from 1980 to 2004LABOUR, Issue 3 2009Anthony Y. Baah The empirical approach uses a set of well-known parametric accelerated failure time strike duration models. There is a broad consensus among the different empirical models about the role exerted on average strike duration by strike size, the rate of inflation, enterprise ownership, and political governance. However, evidence on the relationship between strike durations and business cycle activity in Ghana is less clear-cut. [source] Selection Bias and Continuous-Time Duration Models: Consequences and a Proposed SolutionAMERICAN JOURNAL OF POLITICAL SCIENCE, Issue 1 2006Frederick J. Boehmke This article analyzes the consequences of nonrandom sample selection for continuous-time duration analyses and develops a new estimator to correct for it when necessary. We conduct a series of Monte Carlo analyses that estimate common duration models as well as our proposed duration model with selection. These simulations show that ignoring sample selection issues can lead to biased parameter estimates, including the appearance of (nonexistent) duration dependence. In addition, our proposed estimator is found to be superior in root mean-square error terms when nontrivial amounts of selection are present. Finally, we provide an empirical application of our method by studying whether self-selectivity is a problem for studies of leaders' survival during and following militarized conflicts. [source] Non-monotonic hazard functions and the autoregressive conditional duration modelTHE ECONOMETRICS JOURNAL, Issue 1 2000Joachim Grammig This paper shows that the monotonicity of the conditional hazard in traditional ACD models is both econometrically important and empirically invalid. To counter this problem we introduce a more flexible parametric model which is easy to fit and performs well both in simulation studies and in practice. In an empirical application to NYSE price duration processes, we show that non-monotonic conditional hazard functions are indicated for all stocks. Recently proposed specification tests for financial duration models clearly reject the standard ACD models, whereas the results for the new model are quite favorable. [source] AN ANALYSIS OF DURATION ON THE DISABILITY SUPPORT PENSION PROGRAM,AUSTRALIAN ECONOMIC PAPERS, Issue 2 2006LIXIN CAI The paper examines the factors that determine the duration on the Disability Support Pension (DSP) program using administrative data. We estimate two models based on two competing assumptions: the first model takes the standard assumption in duration models that all recipients will eventually leave the program. The second one takes into account the possibility that there may be some recipients who will never recover from their disabilities and hence not leave the program. Both models indicate that female recipients, recipients who enter DSP at a very young or very old age, recipients with a partner on income support, and recipients who transfer from unemployment benefits have the potential of a longer DSP duration. [source] | |||||||||||||||||||||||||