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A Model Selection Test for Bivariate Failure-Time Data

  • Xiaohong Chen

    ()

    (Department of Economics, New York University)

  • Yanqin Fan

    ()

    (Department of Economics, Vanderbilt University)

Registered author(s):

    In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for model selection, estimators of the parametric copulas based on minimizing the selection criterion function may be preferred to other estimators. To handle the issue of data reuse, we put model selection in the context of hypothesis testing and propose a simple test for model selection from a finite number of parametric copulas. Results from a simulation study and two empirical applications provide strong support to our theoretical findings.

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    File URL: http://www.accessecon.com/pubs/VUECON/vu04-w21.pdf
    File Function: Revised, 2004
    Download Restriction: no

    Paper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0421.

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    Date of creation: Aug 2004
    Date of revision: Oct 2004
    Handle: RePEc:van:wpaper:0421
    Contact details of provider: Web page: http://www.vanderbilt.edu/econ/wparchive/index.html

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    1. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Centre de Recherche en Economie et Statistique.
    2. Dabrowska, Dorota M., 1989. "Kaplan-Meier estimate on the plane: Weak convergence, LIL, and the bootstrap," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 308-325, May.
    3. Sílvia Gonçalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," CIRANO Working Papers 2002s-41, CIRANO.
    4. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    5. Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August.
    6. Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
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