Characterization and Measurement of Duration Dependence in Hazard Rates Models
AbstractAs is known from the economic literature, the notion of negative/positive duration dependence defined in terms of a decreasing/increasing hazard function can solely be used as a basis for revealing whether negative/positive duration dependence is present or not. However, when concern is directed to comparison and measurement of the extent of duration dependence in hazard rate models alternative definitions and methods are called for. To this end we propose a stronger as well as a weaker version of the standard definition of duration dependence and demonstrate that these definitions form a useful basis for developing appropriate duration dependence orderings and summary measures of duration dependence.
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Bibliographic InfoPaper provided by Oslo University, Department of Economics in its series Memorandum with number 07/2002.
Length: 28 pages
Date of creation: 16 Jun 2003
Date of revision:
Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Web page: http://www.oekonomi.uio.no/indexe.html
More information through EDIRC
Hazard rate models; duration dependence orderings; summary measures of duration dependence; the Weibull distribution; PH and MPH models;
Other versions of this item:
- Rolf Aaberge, 2002. "Characterization and Measurement of Duration Dependence in Hazard Rate Models," Discussion Papers 319, Research Department of Statistics Norway.
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
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