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On robust model selection within the Cox model

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  • Tadeusz Bednarski
  • Edyta Mocarska

Abstract

Model selection methods have shown to be useful in the process of econometric modelling. The paper studies robust Akaike--Schwarz type information criteria of model choice within the Cox model. The criteria are based on a smooth modification of the partial likelihood function. Apart from asymptotic results, a Monte Carlo study is presented, which shows the finite sample behaviour of the procedure under discrepancies from the Cox model. Analysis of a real unemployment data case is also included. Copyright Royal Economic Society 2006

Suggested Citation

  • Tadeusz Bednarski & Edyta Mocarska, 2006. "On robust model selection within the Cox model," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 279-290, July.
    • Handle: RePEc:ect:emjrnl:v:9:y:2006:i:2:p:279-290
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    Cited by:

    1. Markowicz Iwona, 2019. "Analysis of the Risk of Liquidation Depending on the Age of the Company: A Study of Entities Established in Szczecin in Period 1990-2010," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 49-62, June.
    2. Tadeusz Bednarski, 2010. "Fréchet differentiability in statistical inference for time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 517-528, November.

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