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Testing the Proportional Hazards Assumption in the Presence of Unmeasured Heterogeneity

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  • McCall, Brian P

Abstract

This paper develops a discrete-time hazard model which accounts for unmeasured heterogeneity while allowing the coefficients of the regressors to vary over time. Sufficient conditions for nonparametric identifiability of the unmeasured heterogeneity distribution are derived. Testing for time-varying coefficients in this model is, under suitable conditions, equivalent to testing the proportionality assumption of the underlying continuous-time hazard model. Some Monte Carlo evidence is presented regarding the small-sample properties of this test. As an illustration, these tests are applied to the joblessness durations of displaced workers. Copyright 1994 by John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 9 (1994)
Issue (Month): 3 (July-Sept.)
Pages: 321-34

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Handle: RePEc:jae:japmet:v:9:y:1994:i:3:p:321-34

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Cited by:
  1. Bhattacharjee, A. & Higson, C. & Holly, S. & Kattuman, P., 2004. "Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions," Cambridge Working Papers in Economics 0420, Faculty of Economics, University of Cambridge.
  2. Stephen L. DesJardins & Dennis A. Ahlburg & Brian P. McCall, . "The Effects of Interrupted Enrollment on Graduation from College: Racial, Income, and Ability Differences," Working Papers 0505, Human Resources and Labor Studies, University of Minnesota (Twin Cities Campus).
  3. Brinch, Christian N., 2007. "Nonparametric Identification Of The Mixed Hazards Model With Time-Varying Covariates," Econometric Theory, Cambridge University Press, vol. 23(02), pages 349-354, April.
  4. Bhat, Chandra R. & Steed, Jennifer L., 2002. "A continuous-time model of departure time choice for urban shopping trips," Transportation Research Part B: Methodological, Elsevier, vol. 36(3), pages 207-224, March.
  5. Fernandes, Ana M. & Paunov, Caroline, 2012. "The risks of innovation : are innovating firms less likely to die ?," Policy Research Working Paper Series 6103, The World Bank.
  6. Addison, John T. & Portugal, Pedro, 2004. "How Does the Unemployment Insurance System Shape the Time Profile of Jobless Duration?," IZA Discussion Papers 978, Institute for the Study of Labor (IZA).
  7. Darrell J. Glaser & Ahmed S. Rahman, 2012. "Technical Human Capital and Job Mobility in an Era of Rapid Technological Innovation," Departmental Working Papers 37, United States Naval Academy Department of Economics.
  8. Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
  9. Hess, Wolfgang & Persson, Maria, 2010. "Exploring the Duration of EU Imports," Working Papers 2010:4, Lund University, Department of Economics.
  10. Christian N. Brinch, 2008. "Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations," Discussion Papers 539, Research Department of Statistics Norway.
  11. Christian N. Brinch, 2009. "Non-parametric identication of the mixed proportional hazards model with interval-censored durations," Discussion Papers 600, Research Department of Statistics Norway.
  12. Giovanni Mastrobuoni, 2007. "Do better–informed workers make better retirement choices? A test based on the Social Security Statement," Carlo Alberto Notebooks 51, Collegio Carlo Alberto.
  13. Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited. Continuous-Time vs. Discrete-Time Hazards," Working Papers 2010:1, Lund University, Department of Economics.
  14. DesJardins, S. L. & Ahlburg, D. A. & McCall, B. P., 1999. "An event history model of student departure," Economics of Education Review, Elsevier, vol. 18(3), pages 375-390, June.
  15. Bhattacharjee, A. & Samarjit Das, 2002. "Testing Proportionality in Duration Models with Respect to Continuous Covariates," Cambridge Working Papers in Economics 0220, Faculty of Economics, University of Cambridge.
  16. Brinch,C., 2000. "Identification of structural duration dependence and unobserved heterogeneity with time-varying," Memorandum 20/2000, Oslo University, Department of Economics.
  17. ter Hofstede, Frenkel & Wedel, Michel, 1998. "A Monte Carlo study of time aggregation in continuous-time and discrete-time parametric hazard models," Economics Letters, Elsevier, vol. 58(2), pages 149-156, February.

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