Interdependent Durations with Incomplete Information

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In this paper, we propose an interdependent durations model with incomplete information structure for multiple players. Our model generates a system of simultaneous equations of the conditional marginal distributions for duration outcomes, and implies that the corresponding copula function is the copula of the unobserved heterogeneity terms. We establish the uniqueness of the Bayesian Nash Equilibrium for the model resorting to a moderate social influence condition. We obtain identification of the finite dimensional parameters capturing the interaction effects and all nonparametric model primitives from the simultaneous equations of conditional marginal distributions and the dependence among unobserved heterogeneity through the conditional joint distribution of duration outcomes. Thus, the direct strategic interaction effects and the selection effects due to unobserved heterogeneity are separately identified.