Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimation in Hazard Regression Models under Ordered Departures from Proportionality

Contents:

Author Info

  • Bhattacharjee, A.

Abstract

Notions of monotone ordering with respect to continuous covariates in duration data regression models have recently been discussed, and tests for the proportional hazards model against such alternatives have been developed (Bhattacharjee and Das, 2002). Such monotone/ ordered departures are common in applications, and provide useful additional information about the nature of covariate dependence. In this paper, we describe methods for estimating hazard regression models when such monotone departures are known to hold. In particular, it is shown how the histogram sieve estimators (Murphy and Sen, 1991) in this setup can be smoothed and order restricted estimation performed using biased bootstrap techniques like adaptive bandwidth kernel estimators (Brockmann et. al., 1993; Schucany, 1995) or data tilting (Hall and Huang, 2001). The performance of the methods is compared using simulated data, and their use is illustrated with applications from biomedicine and economic duration data.

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://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe0337.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0337.

as in new window
Length: 26
Date of creation: Feb 2003
Date of revision:
Handle: RePEc:cam:camdae:0337

Note: EM
Contact details of provider:
Web page: http://www.econ.cam.ac.uk/index.htm

Related research

Keywords: Proportional hazards; Ordered restricted inference; Age-varying covariate effects; Biased bootstrap; Data tilting; Adaptive bandwidth selection; Histogram sieve estimator;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kathryn A. Prewitt, 2003. "Efficient Bandwidth Selection in Non-parametric Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(1), pages 75-92.
  2. Zongwu Cai, 2003. "Local Linear Estimation for Time-Dependent Coefficients in Cox's Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(1), pages 93-111.
  3. Fischer, N. I. & Mammen, E. & Marron, J. S., 1994. "Testing for multimodality," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 18(5), pages 499-512, December.
  4. Li, Yi-Hwei & Klein, John P. & Moeschberger, M. L., 1996. "Effects of model misspecification in estimating covariate effects in survival analysis for small sample sizes," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 22(2), pages 177-192, July.
  5. Lee, Thomas C. M., 2003. "Smoothing parameter selection for smoothing splines: a simulation study," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 42(1-2), pages 139-148, February.
  6. Bhattacharjee, A. & Samarjit Das, 2002. "Testing Proportionality in Duration Models with Respect to Continuous Covariates," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0220, Faculty of Economics, University of Cambridge.
  7. Hall, Peter & Turlach, Berwin A., 1999. "Reducing bias in curve estimation by use of weights," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 30(1), pages 67-86, March.
  8. 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.
  9. E. Mammen, 1999. "Smoothing Splines and Shape Restrictions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(2), pages 239-252.
  10. P. Hall & B. Presnell, 1999. "Intentionally biased bootstrap methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 143-158.
  11. Torben Martinussen, 2002. "Efficient Estimation of Fixed and Time-varying Covariate Effects in Multiplicative Intensity Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(1), pages 57-74.
  12. Farmen, Mark & Marron, J. S., 1999. "An assessment of finite sample performance of adaptive methods in density estimation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 30(2), pages 143-168, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

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, Faculty of Economics, University of Cambridge 0420, Faculty of Economics, University of Cambridge.
  2. Arnab Bhattacharjee, 2009. "Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity," Discussion Paper Series, Department of Economics, Department of Economics, University of St. Andrews 200904, Department of Economics, University of St. Andrews.
  3. Bhattacharjee, Arnab, 2004. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," MPRA Paper 3937, University Library of Munich, Germany.
  4. Arnab Bhattacharjee, 2005. "Models of Firm Dynamics and the Hazard Rate of Exits: Reconciling Theory and Evidence using Hazard Regression Models," Econometrics, EconWPA 0503021, EconWPA.
  5. Arnab Bhattacharjee, 2008. "Partial Orders with Respect to Continuous Covariates and Tests for the Proportional Hazards Model," Discussion Paper Series, Department of Economics, Department of Economics, University of St. Andrews 200807, Department of Economics, University of St. Andrews.
  6. Orbe, Jesus & Nunez-Anton, Vicente, 2006. "Alternative approaches to study lifetime data under different scenarios: from the PH to the modified semiparametric AFT model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(6), pages 1565-1582, March.
  7. Arnab Bhattacharjee & Madhuchhanda Bhattacharjee, 2007. "Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing," Discussion Paper Series, Department of Economics, Department of Economics, University of St. Andrews 200707, Department of Economics, University of St. Andrews.

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:cam:camdae:0337. 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: (Howard Cobb).

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.