The Likelihood of Mixed Hitting Times: Replication Package

Name: The Likelihood of Mixed Hitting Times: Replication Package
Keywords: mixture, strike duration, Lévy process, Mellin's inverse formula, optimal stopping, Laplace transform, first passage time, identification, duration analysis, maximum likelihood

Abbring, Jaap H.; Salimans, Tim

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ZENODO

Software . 2021

License: https://opensource.org/licenses/MIT

Data sources: Datacite

ZENODO

Software . 2021

License: http://opensource.org/licenses/MIT

Data sources: ZENODO

ZENODO

Software . 2021

License: https://opensource.org/licenses/MIT

Data sources: Datacite

ZENODO

Software . 2021

License: http://opensource.org/licenses/MIT

Data sources: ZENODO

ZENODO

Software . 2021

License: https://opensource.org/licenses/MIT

Data sources: Datacite

The Likelihood of Mixed Hitting Times: Replication Package

integration_instructionsResearch softwarekeyboard_double_arrow_right Software 05 Apr 2021 English Publisher:Zenodo

Authors: Abbring, Jaap H.; Salimans, Tim;

doi: 10.5281/zenodo.4670373 , 10.5281/zenodo.4663360 , 10.5281/zenodo.4663359

The Likelihood of Mixed Hitting Times: Replication Package

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Abstract

This MATLAB code replicates the numerical results in Abbring and Salimans (2021). This covers the computation of the likelihood of the mixed hitting-time (MHT) model, maximum likelihood (ML) estimation of parametric versions of this model, and an application to the analysis of Kennan's (1985) strike data. Please see the public Github repository at https://github.com/jabbring/mht-likelihood for details and the latest code and documentation. Abbring, Jaap H., and Tim Salimans (2021), “The likelihood of mixed hitting times”, Journal of Econometrics, 223, 361-375. doi:10.1016/j.jeconom.2019.08.017. arXiv:1905.03463 [econ.EM]. Kennan, John (1985), "The duration of contract strikes in U.S. manufacturing", Journal of Econometrics, 28, 5–28. We welcome the use of this software under an MIT license. © 2020 Jaap H. Abbring and Tim Salimans

The research of Jaap Abbring is financially supported by the Dutch Research Council (NWO) through Vici grant 453-11-002.

Related Organizations

Tilburg University
Netherlands

Keywords

mixture, strike duration, Lévy process, Mellin's inverse formula, optimal stopping, Laplace transform, first passage time, identification, duration analysis, maximum likelihood

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