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Characterization and Measurement of Duration Dependence in Hazard Rate Models

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Abstract

As is known from the economic literature, the notion of negative/positive duration dependence defined in terms of a decreasing/increasing hazard function can solely be used as a basis for revealing whether negative/positive duration dependence is present or not. However, when concern is directed to comparison and measurement of the extent of duration dependence in duration distributions alternative definitions and methods are called for. To this end we propose a stronger as well as a weaker version of the standard definition of duration dependence and demonstrate that these definitions form a useful basis for developing appropriate duration dependence orderings and summary measures of duration dependence.

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  • Rolf Aaberge, 2002. "Characterization and Measurement of Duration Dependence in Hazard Rate Models," Discussion Papers 319, Statistics Norway, Research Department.
    • Handle: RePEc:ssb:dispap:319
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    Cited by:

    1. Rui Menezes & Sonia Bentes, 2016. "Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016," Papers 1610.00259, arXiv.org.

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    More about this item

    Keywords

    Hazard rate models; duration dependence orderings; summary measures of duration dependence; the Weibull distribution; PH and MPH models.;
    All these keywords.

    JEL classification:

    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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