Semiparametric autoregressive conditional proportional hazard models
AbstractA new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model is not available in a dynamic model involving lags of the log integrated baseline hazard. We use a discretisation approach to obtain a semiparametric estimate of the baseline hazard. Second, the log integrated baseline hazard is not observed directly, but only through a threshold function. We employ a special type of observation driven dynamic which allows for a computationally simple maximum likelihood estimation. This specifications approximates a standard ARMA model in the log integrated baseline hazard and is identical if the baseline hazard is known. It is shown that this estimator is quite flexible and easily extended to include unobserved heterogeneity, censoring and state dependent hazard rates. A Monte Carlo study on the approximation quality of the model and an empirical study on BUND future trading at the former DTB complement the paper.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2002-W2.
Length: 39 pages
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Web page: http://www.nuff.ox.ac.uk/economics/
autoregressive duration models; dynamic ordered response models; generalised residuals; censoring.;
Other versions of this item:
- Frank Gerhard & Nikolaus Hautsch, 2001. "Semiparametric autoregressive conditional proportional hazard models," Economics Series Working Papers 2002-W02, University of Oxford, Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-04 (All new papers)
- NEP-ECM-2002-03-04 (Econometrics)
- NEP-ETS-2002-04-08 (Econometric Time Series)
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- Monteiro, André A., .
"The econometrics of randomly spaced financial data: a survey,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/5995, Universidad Carlos III de Madrid.
- Andre A. Monteiro, 2009. "The econometrics of randomly spaced financial data: a survey," Statistics and Econometrics Working Papers ws097924, Universidad Carlos III, Departamento de Estadística y Econometría.
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