Dependence Measures in Bivariate Gamma Frailty Models
AbstractBivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this imposes on the implied dependence of the durations, if the frailty terms act multiplicatively on the corresponding hazard rates. Marginal frailty distributions are often taken to be gamma distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and Kendall's tau. The results are employed to compare the flexibility of specific families of bivariate gamma frailty distributions.
Download InfoIf 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.
Bibliographic InfoPaper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 8083.
Length: 36 pages
Date of creation: Mar 2014
Date of revision:
Contact details of provider:
Postal: IZA, P.O. Box 7240, D-53072 Bonn, Germany
Phone: +49 228 3894 223
Fax: +49 228 3894 180
Web page: http://www.iza.org
Postal: IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany
Find related papers by JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-11 (All new papers)
- NEP-ECM-2014-04-11 (Econometrics)
- NEP-GER-2014-04-11 (German Papers)
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.:
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- van den Berg, Gerard J., 1997. "Association measures for durations in bivariate hazard rate models," Journal of Econometrics, Elsevier, vol. 79(2), pages 221-245, August.
- Jaap H. Abbring & Gerard J. Van Den Berg, 2007.
"The unobserved heterogeneity distribution in duration analysis,"
Biometrika Trust, vol. 94(1), pages 87-99.
- Jaap H. Abbring & Gerard J. van den Berg, 2006. "The Unobserved Heterogeneity Distribution in Duration Analysis," Tinbergen Institute Discussion Papers 06-059/3, Tinbergen Institute.
- Abbring, Jaap H & van den Berg, Gerard J, 2007. "The Unobserved Heterogeneity Distribution in Duration Analysis," CEPR Discussion Papers 6219, C.E.P.R. Discussion Papers.
- Martin, Emily C. & Betensky, Rebecca A., 2005. "Testing Quasi-Independence of Failure and Truncation Times via Conditional Kendall's Tau," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 484-492, June.
- Robin Henderson, 2003. "A serially correlated gamma frailty model for longitudinal count data," Biometrika, Biometrika Trust, vol. 90(2), pages 355-366, June.
- Zhong Xiaoyun & Li Hongzhe, 2002. "An additive genetic gamma frailty model for two-locus linkage analysis using sibship age of onset data," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 1(1), pages 1-26, November.
- David Oakes, 2008. "On consistency of Kendall's tau under censoring," Biometrika, Biometrika Trust, vol. 95(4), pages 997-1001.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Fallak).
If references are entirely missing, you can add them using this form.