| In this paper, duration data is viewed as being generated jointly by a natural mechanism and an economic agent's optimizing behavior. There are two types of duration variables associated with the two forces. One of the duration variables is determined 'endogenously' by the behavior of the economic agent. The other is determined by a force 'exogenous' to the agent. The observed duration arises as a consequence of these two competing forces. Between the two competing forces, only the force which comes first is realized as an observed duration, with the source identified.;This paper uses a structural approach to derive explicitly the joint distribution of the two duration variables under a continuous time framework, providing a structural economic motivation for the continuous time competing risks model. Depending on the way in which the endogenous force is generated, the resulting joint distribution takes three different forms.;Issues of estimation and identification are considered in a unified framework. Simulation studies illustrate the usefulness of the model. |
