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Flexible Parametric Estimation of Duration and Competing Risk Models

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  • Han, Aaron
  • Hausman, Jerry A

Abstract

In this paper we specify and estimate a flexible parametric proportional hazards model. The model specification is flexibly parametric in the sense that the baseline hazard is nonparametric while the effect of the covariates takes a particular functional form. We also add parametric heterogeneity to the underlying hazard model specification. We specify a flexible parametric proportional competing risks model which permits unrestricted correlation among the risks. Unemployment duration data are then analyzed using the flexible parametric duration and competing risks specifications. We find an important effect arising from the exhaustion of unemployment insurance and significantly different hazards for the two types of risks, new jobs and recalls. Copyright 1990 by John Wiley & Sons, Ltd.

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  • Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
  • Handle: RePEc:jae:japmet:v:5:y:1990:i:1:p:1-28
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    References listed on IDEAS

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    1. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
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    6. De Long, James Bradford & Summers, Lawrence H, 1986. "Is Increased Price Flexibility Stabilizing?," American Economic Review, American Economic Association, vol. 76(5), pages 1031-1044, December.
    7. Fair, Ray C, 1993. "Testing the Rational Expectations Hypothesis in Macroeconometric Models," Oxford Economic Papers, Oxford University Press, vol. 45(2), pages 169-190, April.
    8. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
    9. John B. Taylor, 1989. "Policy Analysis With a Multicountry Model," NBER Working Papers 2881, National Bureau of Economic Research, Inc.
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    11. Taylor, John B., 1980. "Output and price stability: An international comparison," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 109-132, May.
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