Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing
We propose Bayesian inference in hazard regression models where the baseline hazard is unknown, covariate effects are possibly age-varying (non-proportional), and there is multiplicative frailty with arbitrary distribution. Our framework incorporates a wide variety of order restrictions on covariate dependence and duration dependence (ageing). We propose estimation and evaluation of age-varying covariate effects when covariate dependence is monotone rather than proportional. In particular, we consider situations where the lifetime conditional on a higher value of the covariate ages faster or slower than that conditional on a lower value; this kind of situation is common in applications. In addition, there may be restrictions on the nature of ageing. For example, relevant theory may suggest that the baseline hazard function decreases with age. The proposed framework enables evaluation of order restrictions in the nature of both covariate and duration dependence as well as estimation of hazard regression models under such restrictions. The usefulness of the proposed Bayesian model and inference methods are illustrated with an application to corporate bankruptcies in the UK.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bhattacharjee, Arnab, 2004.
"A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models,"
3937, University Library of Munich, Germany.
- Arnab Bhattacharjee, 2007. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," Discussion Paper Series, Department of Economics 200708, Department of Economics, University of St. Andrews.
- Luis E. Nieto-Barajas, 2002. "Markov Beta and Gamma Processes for Modelling Hazard Rates," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(3), pages 413-424.
- A. Bhattacharjee & Higson, C. & Holly, S. & Kattuman, P., 2002.
"Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms,"
Cambridge Working Papers in Economics
0206, Faculty of Economics, University of Cambridge.
- Bhattacharje,e A. & C.Higson & S.Holly & P.Kattuman, 2002. "Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms," Royal Economic Society Annual Conference 2002 27, Royal Economic Society.
- P Ingram & David Metcalf & Jonathan Wadsworth, 1992. "Do Strikes Pay?," CEP Discussion Papers dp0092, Centre for Economic Performance, LSE.
- Bhattacharjee, Arnab, 2004.
"Estimation in hazard regression models under ordered departures from proportionality,"
Computational Statistics & Data Analysis,
Elsevier, vol. 47(3), pages 517-536, October.
- Bhattacharjee, A., 2003. "Estimation in Hazard Regression Models under Ordered Departures from Proportionality," Cambridge Working Papers in Economics 0337, Faculty of Economics, University of Cambridge.
- Bhattacharjee, A. & Samarjit Das, 2002. "Testing Proportionality in Duration Models with Respect to Continuous Covariates," Cambridge Working Papers in Economics 0220, Faculty of Economics, University of Cambridge.
- Alan Gelfand & Athanasios Kottas, 2001. "Nonparametric Bayesian Modeling for Stochastic Order," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 865-876, December.
- Narendranathan, W & Stewart, Mark B, 1993. "How Does the Benefit Effect Vary as Unemployment Spells Lengthen?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 361-81, Oct.-Dec..
- Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:3938. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.