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Bayesian semi-parametric modeling for mixed proportional hazard models with right censoring

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  • Lau, John W.
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    Abstract

    This paper presents a Bayesian semi-parametric approach to mixed proportional hazard models. The unobserved heterogeneity and the baseline hazard rate are assumed to be an integrated Dirichlet process and an integrated weighted gamma process, respectively. Bayesian estimators and a numerical algorithm are presented.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 76 (2006)
    Issue (Month): 7 (April)
    Pages: 719-728

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    Handle: RePEc:eee:stapro:v:76:y:2006:i:7:p:719-728

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    Related research

    Keywords: Dirichlet process Weighted gamma process Blocked Gibbs sampler Right censoring Hazard function Polya urn;

    References

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    1. Lillard, Lee A., 1993. "Simultaneous equations for hazards : Marriage duration and fertility timing," Journal of Econometrics, Elsevier, Elsevier, vol. 56(1-2), pages 189-217, March.
    2. Heckman, James J & Walker, James R, 1990. "The Relationship between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Longitudinal Data," Econometrica, Econometric Society, Econometric Society, vol. 58(6), pages 1411-41, November.
    3. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, Econometric Society, vol. 67(5), pages 1001-1028, September.
    4. Devine, Theresa J. & Kiefer, Nicolas M., 1991. "Empirical Labor Economics: The Search Approach," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195059366, October.
    5. Bruce D. Meyer, 1988. "Unemployment Insurance And Unemployment Spells," NBER Working Papers 2546, National Bureau of Economic Research, Inc.
    6. 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.
    7. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, Econometric Society, vol. 52(2), pages 271-320, March.
    8. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 24(1-2), pages 63-132.
    9. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, Econometric Society, vol. 47(4), pages 939-56, July.
    10. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
    11. repec:ebl:ecbull:v:3:y:2003:i:24:p:1-10 is not listed on IDEAS
    12. Albert Lo & Chung-Sing Weng, 1989. "On a class of Bayesian nonparametric estimates: II. Hazard rate estimates," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 41(2), pages 227-245, June.
    13. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey: Part I," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 14(2), pages 155-89, June.
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