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Likelihood Ratio Test in the Correlated Gamma-Frailty Model

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  • Korsholm, L.

Abstract

The correlated gamma-frailty model is a generalization of Cox' proportional hazard model, which allows for correlation between individuals within the same group. The nonparametric maximum likelihood estimator in this model has previously been studied by Murphy (1994, 1995) and Parner (1998). Here we show that the likelihood ratio test can be performed with the x2 distribution as asymptotic law, with the degrees of freedom f equal to the number of Euclidean Parameters fixed under the hypothesis. As a side effect we also have a new proof for asymptotic normality and efficiency of the Euclidean component of the maximum likelihood parameter. Finally, we show how standard errors can be computed.

Suggested Citation

  • Korsholm, L., 1998. "Likelihood Ratio Test in the Correlated Gamma-Frailty Model," Papers 98-11, Centre for Labour Market and Social Research, Danmark-.
    • Handle: RePEc:fth:clmsre:98-11
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    Cited by:

    1. Amélie Detais & Jean-François Dupuy, 2011. "Maximum likelihood estimation in a partially observed stratified regression model with censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(6), pages 1183-1206, December.

    More about this item

    Keywords

    MODELS ; ECONOMETRICS ; ECONOMETRIC MODELS ; EVALUATION Aarhus C; Danmark. 15p.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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