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Inference in Mixed Proportional Hazard Models with K Random Effects

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  • Guillaume Horny.

Abstract

A general formulation of Mixed Proportional Hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. We then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the behavior of the estimator is assessed and I provide an application to the ratification of ILO conventions. Compared to other procedures, the results indicate an important decrease in computing time, as well as improved convergence and stability.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 248.

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Length: 29 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bfr:banfra:248

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Web page: http://www.banque-france.fr/
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Keywords: EM algorithm; penalized likelihood; partial likelihood; frailties.;

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  1. Samuel Manda & Renate Meyer, 2005. "Age at first marriage in Malawi: a Bayesian multilevel analysis using a discrete time-to-event model," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(2), pages 439-455.
  2. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
  3. Christian GOURIEROUX & Irina PEAUCELLE, 1990. "Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire," Annales d'Economie et de Statistique, ENSAE, issue 17, pages 163-183.
  4. Guillaume HORNY & Dragana DJURDJEVIC & Bernhard BOOCKMANN & François LAISNEY, 2008. "Bayesian Estimation of Cox Models with Non-nested Random Effects: an Application to the Ratification Of ILO Conventions by Developing Countries," Annales d'Economie et de Statistique, ENSAE, issue 89, pages 193-214.
  5. Abbring, Jaap H & van den Berg, Gerard J, 2007. "The Unobserved Heterogeneity Distribution in Duration Analysis," CEPR Discussion Papers 6219, C.E.P.R. Discussion Papers.
  6. Hien T.V. Vu & Matthew W. Knuiman, 2002. "Estimation in Semiparametric Marginal Shared Gamma Frailty Models," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 44(4), pages 489-501, December.
  7. Bernhard Boockmann, 2001. "The ratification of ILO conventions: A hazard rate analysis," Economics and Politics, Wiley Blackwell, vol. 13(3), pages 281-309, November.
  8. Vu, Hien T. V., 2004. "Estimation in semiparametric conditional shared frailty models with events before study entry," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 621-637, April.
  9. Moulton, Brent R., 1986. "Random group effects and the precision of regression estimates," Journal of Econometrics, Elsevier, vol. 32(3), pages 385-397, August.
  10. Pakes, Ariel, 1983. "On Group Effects and Errors in Variables in Aggregation," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 168-73, February.
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Cited by:
  1. Horney, Guillaume & Boockmann, Bernhard & Djurdjevic, Dragana & Laisney, François, 2005. "Bayesian estimation of Cox model with non-nested random effects: an application to the ratification of ILO conventions by developing countries," ZEW Discussion Papers 05-23, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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