Duration analysis (RM/PhD)
I most recently taught this as a mini-course in the Danish Graduate Programme in Economics (Aarhus, Denmark). I also taught versions and parts of it at the University of Chicago (Econ 315+316), University College London (BP3), the ENSAE in Malakoff (Paris), Tinbergen Institute (721/I), the CIdE Summer School of Econometrics (Bertinoro, Italy), and Yale University.
The course provides an introduction to the structural econometric analysis of durations and more general dynamic discrete outcomes. We explore approaches based on (A) discrete-time models, (B) continuous-time models in which agents take discrete decisions at random and discrete (Poisson) times, and (C) continuous-time models driven by Brownian motion and its extensions. Throughout, we highlight the extent to which model primitives are uniquely determined by the data (identifiability), and study computational and empirical methods. Because of time constraints, we focus on decision problems and only briefly reflect on related recent developments in the econometrics of dynamic games. Theory and methods are illustrated with (potential) empirical applications. These may include the evaluation of labor market policies with job search models; asymmetric information in insurance markets; firm growth, learning, and survival; and marriage and labor market matching.