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A Model Selection Test for Bivariate Failure-Time Data

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  • Xiaohong Chen

    ()
    (Department of Economics, New York University)

  • Yanqin Fan

    ()
    (Department of Economics, Vanderbilt University)

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    Abstract

    In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for model selection, estimators of the parametric copulas based on minimizing the selection criterion function may be preferred to other estimators. To handle the issue of data reuse, we put model selection in the context of hypothesis testing and propose a simple test for model selection from a finite number of parametric copulas. Results from a simulation study and two empirical applications provide strong support to our theoretical findings.

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    File URL: http://www.accessecon.com/pubs/VUECON/vu04-w21.pdf
    File Function: Revised, 2004
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    Bibliographic Info

    Paper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0421.

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    Date of creation: Aug 2004
    Date of revision: Oct 2004
    Handle: RePEc:van:wpaper:0421

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    Web page: http://www.vanderbilt.edu/econ/wparchive/index.html

    Related research

    Keywords: Archimedean copula; bivariate survival function; data reuse; minimum-distance estimation; model selection;

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