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A Flexible Link Function for Discrete-Time Duration Models

Author

Listed:
  • Hess Wolfgang

    (Department of Economics and Centre for Economic Demography, Lund University, P.O. Box 7082, 22007 Lund, Sweden)

  • Tutz Gerhard

    (Department of Statistics, Ludwig Maximilian University of Munich, Akademiestraße 1, 80799 Munich, Germany)

  • Gertheiss Jan

Abstract

This paper proposes a discrete-time hazard regression approach based on the relation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model employs a flexible link function and incorporates the grouped-duration analogue of the well-known Cox proportional hazards model and the proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported, suggesting that the model proposed performs well. The simulation results and an empirical analysis of US import durations also show that the choice of link function in discrete hazard models has important implications for the estimation results, and that severe biases in the results can be avoided when using a flexible link function.

Suggested Citation

  • Hess Wolfgang & Tutz Gerhard & Gertheiss Jan, 2016. "A Flexible Link Function for Discrete-Time Duration Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(4), pages 455-481, August.
    • Handle: RePEc:jns:jbstat:v:236:y:2016:i:4:p:455-481
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    References listed on IDEAS

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    Cited by:

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    More about this item

    Keywords

    discrete-time duration model; hazard rate; threshold excess model; link function estimation; duration of trade;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade

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