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Testing Proportionality in Duration Models with Respect to Continuous Covariates

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  • Bhattacharjee, A.
  • Samarjit Das

Abstract

Several omnibus tests of the proportional hazards assumption have been proposed in the literature. In the two-sample case, tests have also been developed against non-parametrically specified ordered alternatives. This paper considers a natural extension of such monotone ordering to the case of continuous covariates, and develops tests for the proportional hazards assumption against such ordered alternatives. Small sample properties of the tests are explored. The use of the test statistics, and use of histogram sieve estimators in the case where proportionality does not hold, are illustrated with application to data on strike durations.

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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0220.

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Length: 22
Date of creation: Aug 2002
Date of revision:
Handle: RePEc:cam:camdae:0220

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Related research

Keywords: proportional hazards; increasing hazards ratio; ordered alternatives; histogram sieve estimators;

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References

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  1. Murphy, S. A. & Sen, P. K., 1991. "Time-dependent coefficients in a Cox-type regression model," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 39(1), pages 153-180, October.
  2. Atkinson, A. B. & Gomulka, J. & Micklewright, J. & Rau, N., 1984. "Unemployment benefit, duration and incentives in Britain : How robust is the evidence?," Journal of Public Economics, Elsevier, Elsevier, vol. 23(1-2), pages 3-26.
  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. Card, David & Olson, Craig A, 1995. "Bargaining Power, Strike Durations, and Wage Outcomes: An Analysis of Strikes in the 1880s," Journal of Labor Economics, University of Chicago Press, University of Chicago Press, vol. 13(1), pages 32-61, January.
  5. Lawrence F. Katz, 1986. "Layoffs, Recall and the Duration of Unemployment," NBER Working Papers 1825, National Bureau of Economic Research, Inc.
  6. Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
  7. A. Bhattacharjee & C. Higson & S. Holly & P. Kattuman, 2009. "Macroeconomic Instability and Business Exit: Determinants of Failures and Acquisitions of UK Firms," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 76(301), pages 108-131, 02.
  8. Kennan, John, 1985. "The duration of contract strikes in U.S. manufacturing," Journal of Econometrics, Elsevier, Elsevier, vol. 28(1), pages 5-28, April.
  9. McCall, Brian P, 1994. "Testing the Proportional Hazards Assumption in the Presence of Unmeasured Heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(3), pages 321-34, July-Sept.
  10. Jayet, H. & Moreau, A., 1991. "Analysis of survival data : Estimation and specification tests using asymptotic least squares," Journal of Econometrics, Elsevier, Elsevier, vol. 48(1-2), pages 263-285.
  11. Dale T. Mortensen, 1977. "Unemployment insurance and job search decisions," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 30(4), pages 505-517, July.
  12. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
  13. P Ingram & David Metcalf & Jonathan Wadsworth, 1992. "Do Strikes Pay?," CEP Discussion Papers dp0092, Centre for Economic Performance, LSE.
  14. Narendranathan, W & Stewart, Mark B, 1993. "How Does the Benefit Effect Vary as Unemployment Spells Lengthen?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(4), pages 361-81, Oct.-Dec..
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Cited by:
  1. Arnab Bhattacharjee & Chris Higson & Sean Holly & Paul Kattuman, 2007. "Macroeconomic Conditions and Business Exit: Determinants of Failures and Acquisitions of UK Firms," CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis 200713, Centre for Dynamic Macroeconomic Analysis.
  2. Bhattacharjee, Arnab, 2004. "Estimation in hazard regression models under ordered departures from proportionality," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 47(3), pages 517-536, October.
  3. Arnab Bhattacharjee, 2007. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," Discussion Paper Series, Department of Economics, Department of Economics, University of St. Andrews 200708, Department of Economics, University of St. Andrews.
  4. Bhattacharjee, Arnab & Bhattacharjee, Madhuchhanda, 2007. "Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing," MPRA Paper 3938, University Library of Munich, Germany.
  5. Bhattacharjee, A., 2004. "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0401, Faculty of Economics, University of Cambridge.
  6. Arnab Bhattacharjee, 2005. "Models of Firm Dynamics and the Hazard Rate of Exits: Reconciling Theory and Evidence using Hazard Regression Models," CRIEFF Discussion Papers 0502, Centre for Research into Industry, Enterprise, Finance and the Firm.

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