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LILLARDHAZ: Stata module to estimate simultaneous-equations hazard/probit models with a Gaussian-copula correlation (Lillard 1993)

Author

Listed:
  • Nobutaka Fukuda

    (Tohoku University)

Programming Language

Abstract

lillardhaz fits a two-equation simultaneous model of the kind introduced in Lillard (J. Econometrics, 1993): a pair of processes -- each a binary probit outcome or a continuous-time hazard duration -- linked through a single correlation parameter rho between their underlying error terms, estimated jointly by maximum likelihood via a Gaussian copula. Equation 1 (eq1()) may be a probit, a log-normal hazard, or a piecewise (linear-log-hazard) Gompertz hazard with an arbitrary number of user-specified nodes; equation 2 (eq2()) is always a hazard, log-normal or piecewise Gompertz. With nocorr, the two equations are fit under the (testable) restriction rho=0, which -- as shown in The model below -- reduces exactly to two independent univariate fits.

Suggested Citation

  • Nobutaka Fukuda, 2026. "LILLARDHAZ: Stata module to estimate simultaneous-equations hazard/probit models with a Gaussian-copula correlation (Lillard 1993)," Statistical Software Components S459904, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459904
    Note: This module should be installed from within Stata by typing "ssc install lillardhaz". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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