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 agevarying (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 e¤ects 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:||15 Sep 2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 01334 462420
Fax: 01334 462444
Web page: http://www.st-andrews.ac.uk/economics/
More information through EDIRC
|Order Information:|| Email: |
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.:
- 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.
- Bhattacharjee, Arnab, 2004. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," MPRA Paper 3937, University Library of Munich, Germany.
- 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..
- 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.
- 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.
- 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, Arnab, 2004. "Estimation in hazard regression models under ordered departures from proportionality," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 517-536, October.
- Alan Gelfand & Athanasios Kottas, 2001. "Nonparametric Bayesian Modeling for Stochastic Order," Annals of the Institute of Statistical Mathematics, Springer, vol. 53(4), pages 865-876, December.
- P Ingram & David Metcalf & Jonathan Wadsworth, 1992. "Do Strikes Pay?," CEP Discussion Papers dp0092, Centre for Economic Performance, LSE.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:san:wpecon:0707. 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: (Bram Boskamp)
If references are entirely missing, you can add them using this form.