A Flexible Hazard Rate Model for Grouped Duration Data
AbstractThis 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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Bibliographic InfoPaper provided by Lund University, Department of Economics in its series Working Papers with number 2009:18.
Length: 30 pages
Date of creation: 09 Nov 2009
Date of revision:
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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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Discrete-Time Duration Model; Hazard Rate; Threshold Excess Model; Unemployment Duration;
Find related papers by JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
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- Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
- Hess, Wolfgang & Persson, Maria, 2010.
"The Duration of Trade Revisited: Continuous-Time vs. Discrete-Time Hazards,"
Working Paper Series
829, Research Institute of Industrial Economics.
- 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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