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A Flexible Hazard Rate Model for Grouped Duration Data

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Author Info

  • Hess, Wolfgang

    ()
    (Department of Economics, Lund University)

Abstract

This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the well-known Cox proportional hazards model and a proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported to suggest that it performs well. A numerical example using US unemployment data is also provided.

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File URL: http://project.nek.lu.se/publications/workpap/Papers/WP09_18.pdf
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Bibliographic Info

Paper provided by Lund University, Department of Economics in its series Working Papers with number 2009:18.

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Length: 30 pages
Date of creation: 09 Nov 2009
Date of revision:
Handle: RePEc:hhs:lunewp:2009_018

Contact details of provider:
Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
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Related research

Keywords: Discrete-Time Duration Model; Hazard Rate; Threshold Excess Model; Unemployment Duration;

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Cited by:
  1. Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
  2. Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited. Continuous-Time vs. Discrete-Time Hazards," Working Papers 2010:1, Lund University, Department of Economics.

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