IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v35y2004i3p649-677.html
   My bibliography  Save this article

Analytically calibrated Box-Cox percentile limits for duration and event-time models

Author

Listed:
  • Yang, Zhenlin
  • Tsui, Albert K.

Abstract

No abstract is available for this item.

Suggested Citation

  • Yang, Zhenlin & Tsui, Albert K., 2004. "Analytically calibrated Box-Cox percentile limits for duration and event-time models," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 649-677, December.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:649-677
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(04)00095-2
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Koop, Gary & Ruhm, Christopher J., 1993. "Econometric estimation of proportional hazard models," Journal of Economics and Business, Elsevier, vol. 45(5), pages 421-430, December.
    2. Ryu, Keunkwan, 1993. "Structural duration analysis of management data," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 91-115.
    3. Kiefer, Nicholas M & Lundberg, Shelly J & Neumann, George R, 1985. "How Long Is a Spell of Unemployment? Illusions and Biases in the Use of CPS Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(2), pages 118-128, April.
    4. Torelli, Nicola & Trivellato, Ugo, 1993. "Modelling inaccuracies in job-search duration data," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 187-211, September.
    5. John F. Y. Brookfield, 2001. "Predicting the future," Nature, Nature, vol. 411(6841), pages 999-999, June.
    6. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    7. Kennan, John, 1985. "The duration of contract strikes in U.S. manufacturing," Journal of Econometrics, Elsevier, vol. 28(1), pages 5-28, April.
    8. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
    9. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-679, June.
    10. Baker, Michael & Melino, Angelo, 2000. "Duration dependence and nonparametric heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 96(2), pages 357-393, June.
    11. Lancaster, Tony, 1985. "Generalised residuals and heterogeneous duration models : With applications to the Weilbull model," Journal of Econometrics, Elsevier, vol. 28(1), pages 155-169, April.
    12. Saha, Atanu & Hilton, Lynette, 1997. "Expo-power: A flexible hazard function for duration data models," Economics Letters, Elsevier, vol. 54(3), pages 227-233, July.
    13. Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
    14. Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
    15. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-956, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Zhenlin, 2006. "A modified family of power transformations," Economics Letters, Elsevier, vol. 92(1), pages 14-19, July.
    2. Liangjun Su & Zhenlin Yang, 2008. "Asymptotics and Bootstrap for Transformed Panel Data Regressions," Development Economics Working Papers 22477, East Asian Bureau of Economic Research.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460, Elsevier.
    2. Gómez-Déniz, E. & Pérez-Rodríguez, J.V., 2019. "Modelling bimodality of length of tourist stay," Annals of Tourism Research, Elsevier, vol. 75(C), pages 131-151.
    3. Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics.
    4. George Neumann, 1996. "Search Models and Duration Data," Econometrics 9602008, University Library of Munich, Germany, revised 07 Mar 1996.
    5. Anthony Shorrocks, 2009. "Spell incidence, spell duration and the measurement of unemployment," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 7(3), pages 295-310, September.
    6. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    7. Wiji Narendranathan & Mark B. Stewart, 1993. "Modelling the Probability of Leaving Unemployment: Competing Risks Models with Flexible Base‐Line Hazards," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 42(1), pages 63-83, March.
    8. Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited. Continuous-Time vs. Discrete-Time Hazards," Working Papers 2010:1, Lund University, Department of Economics.
    9. Bijwaard Govert E. & Ridder Geert & Woutersen Tiemen, 2013. "A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 1-23, July.
    10. Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
    11. Hess, Wolfgang & Persson, Maria, 2009. "Survival and Death in International Trade - Discrete-Time Durations of EU Imports," Working Papers 2009:12, Lund University, Department of Economics.
    12. Nikolaus Hautsch, 1999. "Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions," Finance 9904002, University Library of Munich, Germany.
    13. Michele Lalla & Francesco Pattarin, 2001. "Unemployment Duration: An Analysis of Incomplete, Completed, and Multiple Spells in Emilia-Romagna," Quality & Quantity: International Journal of Methodology, Springer, vol. 35(2), pages 203-230, May.
    14. Bent Jesper Christensen & Malene Kallestrup‐Lamb, 2012. "The Impact Of Health Changes On Labor Supply: Evidence From Merged Data On Individual Objective Medical Diagnosis Codes And Early Retirement Behavior," Health Economics, John Wiley & Sons, Ltd., vol. 21(S1), pages 56-100, June.
    15. Garczorz, Ingo, 2001. "Anwendung der Hazard-Analyse im Marketing: Einführung und Literaturüberblick," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 548, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    16. Eberwein, Curtis & Ham, John C. & LaLonde, Robert J., 2002. "Alternative methods of estimating program effects in event history models," Labour Economics, Elsevier, vol. 9(2), pages 249-278, April.
    17. Mingliang Li, 2006. "High school completion and future youth unemployment: new evidence from High School and Beyond," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 23-53.
    18. Vygodina, Anna V. & Zorn, Thomas S. & DeFusco, Richard, 2008. "Asymmetry in the effects of economic fundamentals on rising and falling exchange rates," International Review of Financial Analysis, Elsevier, vol. 17(4), pages 728-746, September.
    19. Francisco J. Gil & Maria Jesus Martin & Angel Serrat, 1994. "Movilidad en el mercado de trabajo en España: un análisis econométrico de duración con riesgos en competencia," Investigaciones Economicas, Fundación SEPI, vol. 18(3), pages 517-537, September.
    20. Ando, Amy, 1998. "Delay on the Path to the Endangered Species List: Do Costs and Benefits Matter," RFF Working Paper Series dp-97-43-rev, Resources for the Future.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:649-677. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.