Advanced Search
MyIDEAS: Login to save this article or follow this journal

Competing Risks Modelsusing Mortgage Duration Data under the Proportional Hazards Assumption

Contents:

Author Info

  • MARK YUYING AN

    ()
    (Fannie Mae)

  • ZHIKUN QI

    ()
    (Fannie Mae)

Abstract

This paper demonstrates two important results related to the estimation of a competing risks model under the proportional hazards assumption with grouped duration data, a model which has become the canonical model for the termination of mortgages with prepayment and default as two competing risks. First we show that the model with non-parametric baseline hazards is unidentifiable with only grouped mortgage duration data. Therefore assumption on the functional form of the baseline hazard is necessary for any meaningful inference. Secondly we demonstrate that under some parametric assumption such as piece-wise constant baseline hazards, the sample likelihood function has an explicit analytical form. Therefore there is no need for the approximation formula widely adopted in the previous literature. Both Monte Carlo simulations and actual mortgage data are used to demonstrate the adverse impact of the approximation.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/new_current/vol34n01/01.1_26.pdf
File Function: Full text
Download Restriction: no

Bibliographic Info

Article provided by American Real Estate Society in its journal journal of Real Estate Research.

Volume (Year): 34 (2012)
Issue (Month): 1 ()
Pages: 1-26

as in new window
Handle: RePEc:jre:issued:v:34:n:1:2012:p:1-26

Contact details of provider:
Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
Email:
Web page: http://www.aresnet.org/

Order Information:
Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
Email:
Web: http://aux.zicklin.baruch.cuny.edu/jrer/about/get.htm

Related research

Keywords:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:34:n:1:2012:p:1-26. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.