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A Flexible Hazard Rate Model for Grouped Duration Data

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Abstract

This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the well-known Cox proportional hazards model and a proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported to suggest that it performs well. A numerical example using US unemployment data is also provided.

Suggested Citation

  • Hess, Wolfgang, 2009. "A Flexible Hazard Rate Model for Grouped Duration Data," Working Papers 2009:18, Lund University, Department of Economics.
  • Handle: RePEc:hhs:lunewp:2009_018
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    File URL: http://project.nek.lu.se/publications/workpap/Papers/WP09_18.pdf
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    Cited by:

    1. 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.
    2. Hess Wolfgang & Tutz Gerhard & Gertheiss Jan, 2016. "A Flexible Link Function for Discrete-Time Duration Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(4), pages 455-481, August.
    3. Kaeding, Matthias, 2015. "Flexible Modeling of Binary Data Using the Log-Burr Link," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113043, Verein für Socialpolitik / German Economic Association.
    4. Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
    5. Sadat Reza & Paul Rilstone, 2016. "Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 693-726, May.
    6. Reza, Sadat & Rilstone, Paul, 2014. "A simple root-N-consistent semiparametric estimator for discrete duration models," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 150-154.
    7. MAJUNE, Socrates, 2015. "A discrete time analysis of export duration in Kenya: 1995 -2014," MPRA Paper 68727, University Library of Munich, Germany.

    More about this item

    Keywords

    Discrete-Time Duration Model; Hazard Rate; Threshold Excess Model; Unemployment Duration;

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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