Likelihood-Based Estimation of a Proportional-Hazard, Competing- Risk Model with Grouped Duration Data
AbstractThis short paper demonstrates two important results related to the estimation of competing-risk models under the proportional-hazards assumption with grouped duration data. First I show that the model with non-parametric baseline hazards is unidentifiable with only grouped duration data. Therefore one has to make functional form assumption for any meaningful inference. Secondly I demonstrate that under some parametric assumption such as piecewise constant baseline hazards, the sample likelihood function has explicit analytical form. Therefore there is no need for approximation. The approximation formula adopted by Deng et al (2000) and religiously followed by others is only a quasi likelihood function.
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Bibliographic InfoPaper provided by EconWPA in its series Urban/Regional with number 0407013.
Length: 11 pages
Date of creation: 30 Jul 2004
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competing risk models; duration models; default risk;
Find related papers by JEL classification:
- R - Urban, Rural, Regional, Real Estate, and Transportation Economics
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