ECONOMETRICS RESEARCH SEMINAR	INVITATION
The Department of Economics and Finance at the Institute for Advanced Studies cordially invites you to the following Econometrics Research Seminar Thursday, April 16, 2015 IHS, Stumpergasse 56, 1060 Vienna, HS II 9:00 am (Please note that the seminar will start at 9 am sharp!) Jaap H. Abbring Tilburg University Estimating Mixed Hitting-Time Models The talk will be based on two papers (but mostly on the first): "The Likelihood of Mixed Hitting Times” (with Tim Salimans) Abstract: We present a method for efficiently computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent Lévy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but its Laplace transform is. Our approach to its computation relies on numerical methods for inverting Laplace transforms that exploit special properties of the first passage times of Lévy processes. We use our method to implement a maximum likelihood estimator of the mixed hitting-time model in MATLAB. We illustrate the application of this estimator with an analysis of Kennan’s (1985) strike data. "Mixed Hitting Times with Time-Varying Covariates” (with Kun Zheng) Abstract: We present a mixed hitting-time model that species durations as the first time a latent Lévy process hits a heterogeneous and time-varying threshold. This model naturally arises as the reduced form of an optimal stopping problem with time-varying parameters. We present two methods for computing its likelihood, which is not known explicitly. The first allows for both upward and downward shifts in the threshold, but restricts the latent process to be Brownian motion. The second only allows the threshold to move up, but can easily be extended to the case where the latent process is a more general Lévy process. We are looking forward to seeing you! Institute for Advanced Studies Department of Economics and Finance Stumpergasse 56, 1060 Vienna, Austria Tel.: +43 1 599 91 145 e-Mail: economics@ihs.ac.at http://economics.ihs.ac.at		LINKS DIRECTIONS TO IHS on Google maps ECONOMETRICS RESEARCH SEMINAR on Google calendar ECONOMICS SEMINARS IN VIENNA on Google calendar
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