@article {9978,
title = {A new model for interdependent durations},
journal = {Quantitative Economics},
volume = {9},
year = {2018},
pages = {1299-1333},
abstract = {This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with positive probability. Our approach takes a stylized economic model that leads to a univariate generalized accelerated failure time model as a starting point. In this model, agents decide when to transition from an initial state to a new one, and the covariates influence the difference in the utility flow in the two states. We introduce simultaneity by allowing the utility flow to depend on the status of the other person. The econometric model is then completed by assuming that the observed outcome is the Nash bargaining solution in that simple economic model. The advantage of this approach is that it includes independent realizations from the generalized accelerated failure time model as a special case, and deviations from this special case can be given an economic interpretation. We established identification under assumptions that are similar to those in the literature on nonparametric estimation of duration models. We illustrate the model by studying the joint retirement decisions in married couples using the Health and Retirement Study. In that example, it seems reasonable to allow for the possibility that each partner{\textquoteright}s optimal retirement time depends on the retirement time of the spouse. Moreover, the data suggest that the wife and the husband retire at the same time for a nonnegligible fraction of couples. The main empirical finding is that the simultaneity is economically important. In our preferred specification, the indirect utility associated with being retired increases by approximately 5\% when one{\textquoteright}s spouse retires.},
keywords = {Couples, Retirement Planning and Satisfaction},
issn = {1759-7323},
doi = {10.3982/QE439},
url = {http://qeconomics.org/ojs/index.php/qe/article/view/622},
author = {Bo E. Honor{\'e} and {\'A}ureo de Paula}
}
@article {5896,
title = {A new model for interdependent durations with an application to joint retirement},
year = {2016},
institution = {London, Centre for Microdata Methods and Practice},
abstract = {This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with positive probability. The motivating example is retirement decisions by married couples. In that example it seems reasonable to allow for the possibility that each partner{\textquoteright}s optimal retirement time depends on the retirement time of the spouse. Moreover, the data suggest that the wife and the husband retire at the same time for a nonnegligible fraction of couples. Our approach takes as a starting point a stylized economic model that leads to a univariate generalized accelerated failure time model. The covariates of that generalized accelerated failure time model act as utility-flow shifters in the economic model. We introduce simultaneity by allowing the utility flow in retirement to depend on the retirement status of the spouse. The econometric model is then completed by assuming that the observed outcome is the Nash bargaining solution in that simple economic model. The advantage of this approach is that it includes independent realizations from the generalized accelerated failure time model as a special case, and deviations from this special case can be given an economic interpretation. We illustrate the model by studying the joint retirement decisions in married couples using the Health and Retirement Study. We provide a discussion of relevant identifying variation and estimate our model using indirect inference. The main empirical finding is that the simultaneity seems economically important. In our preferred specification the indirect utility associated with being retired increases by approximately 5 when one{\textquoteright}s spouse retires. The estimated model also predicts that the marginal effect of a change in the husbands{\textquoteright} pension plan on wives{\textquoteright} retirement dates is about 3.3 of the direct effect on the husbands{\textquoteright}.},
keywords = {Adult children, Methodology, Pensions, Retirement Planning and Satisfaction},
author = {Bo E. Honor{\'e} and {\'A}ureo de Paula}
}
@article {5789,
title = {Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information, Second Version},
number = {10-021},
year = {2010},
note = {Using Smart Source Parsing pp Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, PIER Working Paper Archive},
institution = {University of Pennsylvania},
address = {Philadelphia, PA},
abstract = {This paper studies the inference of interaction effects, i.e., the impacts of players{\textquoteright} actions on each other{\textquoteright}s payoffs, in discrete simultaneous games with incomplete information. We propose an easily implementable test for the signs of state-dependent interaction effects that does not require parametric specifications of players{\textquoteright} payoffs, the distributions of their private signals or the equilibrium selection mechanism. The test relies on the commonly invoked assumption that players{\textquoteright} private signals are independent conditional on observed states. The procedure is valid in the presence of multiple equilibria, and, as a by-product of our approach, we propose a formal test for multiple equilibria in the data-generating process. We provide Monte Carlo evidence of the test{\textquoteright}s good performance infinite samples. We also implement the test to infer the direction of interaction effects in couples{\textquoteright} joint retirement decisions using data from the Health and Retirement Study.},
keywords = {Methodology, Other, Retirement Planning and Satisfaction},
url = {https://economics.sas.upenn.edu/pier/working-paper/2010/inference-signs-interaction-effects-simultaneous-games-incomplete},
author = {{\'A}ureo de Paula and Tang, Xun}
}