Likelihood-Based Estimation of a Proportional-Hazard, Competing- Risk Model with Grouped Duration Data
This short paper demonstrates two important results related to the estimation of competing-risk models under the proportional-hazards assumption with grouped duration data. First I show that the model with non-parametric baseline hazards is unidentifiable with only grouped duration data. Therefore one has to make functional form assumption for any meaningful inference. Secondly I demonstrate that under some parametric assumption such as piecewise constant baseline hazards, the sample likelihood function has explicit analytical form. Therefore there is no need for approximation. The approximation formula adopted by Deng et al (2000) and religiously followed by others is only a quasi likelihood function.
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- An, Mark Yuying, 1996.
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96-06, Duke University, Department of Economics.
- Yuying An, M., 1998. "Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data," Papers 98-12, Centre for Labour Market and Social Research, Danmark-.
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- Yongheng Deng & John M. Quigley & Robert Van Order, "undated". "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Zell/Lurie Center Working Papers 322, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
- Deng, Yongheng & Quigley, John M. & Van Order, Robert, 1999. "Mortgage Terminations, Heterogeneity, and the Exercise of Mortgage Options," Berkeley Program on Housing and Urban Policy, Working Paper Series qt96r560pg, Berkeley Program on Housing and Urban Policy.
- Mark Yuying An, 2000. "A Semiparametric Distribution for Willingness to Pay and Statistical Inference with Dichotomous Choice Contingent Valuation Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(3), pages 487-500.
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