Duration Models and Point Processes (original) (raw)

Essays on duration and count data models

2015

This thesis is formed by three chapters related to duration and count data models. In the first chapter, "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy", I propose new model checks for dynamic count models. Both portmanteau and omnibus-type tests for lack of residual autocorrelation are considered, and the resulting test statistics are asymptotically pivotal when innovations are uncorrelated, but possibly exhibiting higher order serial dependence. Moreover, the tests are able to detect local alternatives converging to the null at the parametric rate T ?1/2, with T the sample size. I examine the finite sample performance of the test statistics by means of a Monte Carlo experiment. Finally, using a dataset on U.S. corporate bankruptcies, I use the new goodness-of- t tests to check if different risk models are correctly specified. In the second chapter, "Nonparametric Tests for Conditional Treatment Effects with Du...

Rank Estimation of Duration Models: Dissertation Summary

2001

The articles contained in this PhD thesis give one of the first attempts to formalise Instrumental Variable (IV) methods for duration models. The methods proposed can handle the typical features of duration data such as, censoring and time-varying covariates. It also gives a new solution to well--known inference problems of the, commonly used, Mixed Proportional Hazard models. The estimation methods