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On the estimation of hazard models with flexible baseline hazards and nonparametric unobserved heterogeneity

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  • Michele Campolieti

    (University of Toronto)

Abstract

I present an alternative approach for estimating hazard models that include flexible baseline hazards and nonparametric unobserved heterogeneity, which avoids the computational difficulties encountered by other researchers who have used this sort of model specification. My method places restrictions on the differences of the parameters in a flexible baseline hazard specification, which permits information from other time periods to be used to estimate the parameters of a specific time period. This method is illustrated with an empirical example.

Suggested Citation

  • Michele Campolieti, 2003. "On the estimation of hazard models with flexible baseline hazards and nonparametric unobserved heterogeneity," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-03c40001
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    References listed on IDEAS

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    1. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
    2. Michele Campolieti, 2000. "Bayesian Estimation and Smoothing of the Baseline Hazard in Discrete Time Duration Models," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 685-694, November.
    3. Ham, John C & Rea, Samuel A, Jr, 1987. "Unemployment Insurance and Male Unemployment Duration in Canada," Journal of Labor Economics, University of Chicago Press, vol. 5(3), pages 325-353, July.
    4. Michael Baker & Samuel A. Rea, 1998. "Employment Spells And Unemployment Insurance Eligibility Requirements," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 80-94, February.
    5. Taylor, William E, 1974. "Smoothness Priors and Stochastic Prior Restrictions in Distributed Lag Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(3), pages 803-804, October.
    6. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
    7. Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
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    Cited by:

    1. Lau, John W., 2006. "Bayesian semi-parametric modeling for mixed proportional hazard models with right censoring," Statistics & Probability Letters, Elsevier, vol. 76(7), pages 719-728, April.

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    Keywords

    Flexible Baseline Hazard;

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