IDEAS home Printed from
   My bibliography  Save this article

Competing Risks Modelsusing Mortgage Duration Data under the Proportional Hazards Assumption



    () (Fannie Mae)


    () (Fannie Mae)


This paper demonstrates two important results related to the estimation of a competing risks model under the proportional hazards assumption with grouped duration data, a model which has become the canonical model for the termination of mortgages with prepayment and default as two competing risks. First we show that the model with non-parametric baseline hazards is unidentifiable with only grouped mortgage duration data. Therefore assumption on the functional form of the baseline hazard is necessary for any meaningful inference. Secondly we demonstrate that under some parametric assumption such as piece-wise constant baseline hazards, the sample likelihood function has an explicit analytical form. Therefore there is no need for the approximation formula widely adopted in the previous literature. Both Monte Carlo simulations and actual mortgage data are used to demonstrate the adverse impact of the approximation.

Suggested Citation

  • Mark Yuying An & Zhikun Qi, 2012. "Competing Risks Modelsusing Mortgage Duration Data under the Proportional Hazards Assumption," Journal of Real Estate Research, American Real Estate Society, vol. 34(1), pages 1-26.
  • Handle: RePEc:jre:issued:v:34:n:1:2012:p:1-26

    Download full text from publisher

    File URL:
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    1. Palmquist, Raymond B, 1984. "Estimating the Demand for the Characteristics of Housing," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 394-404, August.
    2. Kane, Edward J, 1990. " Principal-Agent Problems in S&L Salvage," Journal of Finance, American Finance Association, vol. 45(3), pages 755-764, July.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Karl L. Guntermann & Stefan Norrbin, 1987. "Explaining the Variability of Apartment Rents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(4), pages 321-340.
    5. Charles A. Smith & Mark J. Kroll, 1989. "Utility Theory and Rent Optimization: Utilizing Cluster Analysis to Segment Rental Markets," Journal of Real Estate Research, American Real Estate Society, vol. 4(1), pages 61-71.
    6. James D. Shilling & John D. Benjamin & C.F. Sirmans, 1990. "Estimating Net Realizable Value for Distressed Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 5(1), pages 129-140.
    7. Halvorsen, Robert & Palmquist, Raymond, 1980. "The Interpretation of Dummy Variables in Semilogarithmic Equations," American Economic Review, American Economic Association, vol. 70(3), pages 474-475, June.
    8. Fred A. Forgey & Ronald C. Rutherford & Michael L. VanBuskirk, 1994. "Effect of Foreclosure Status on Residential Selling Price," Journal of Real Estate Research, American Real Estate Society, vol. 9(3), pages 313-318.
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. repec:kap:jrefec:v:56:y:2018:i:2:d:10.1007_s11146-017-9597-0 is not listed on IDEAS

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services


    Access and download statistics


    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:jre:issued:v:34:n:1:2012:p:1-26. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.