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Likelihood-Based Estimation of a Proportional-Hazard, Competing- Risk Model with Grouped Duration Data

Author

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  • Mark Yuying An

    (Fannie Mae)

Abstract

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.

Suggested Citation

  • Mark Yuying An, 2004. "Likelihood-Based Estimation of a Proportional-Hazard, Competing- Risk Model with Grouped Duration Data," Urban/Regional 0407013, EconWPA.
  • Handle: RePEc:wpa:wuwpur:0407013
    Note: Type of Document - pdf; pages: 11
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/urb/papers/0407/0407013.pdf
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    References listed on IDEAS

    as
    1. An, Mark Yuying, 1996. "Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data," Working Papers 96-06, Duke University, Department of Economics.
    2. McCall, Brian P, 1996. "Unemployment Insurance Rules, Joblessness, and Part-Time Work," Econometrica, Econometric Society, vol. 64(3), pages 647-682, May.
    3. Yongheng Deng & John M. Quigley & Robert Van Order, 2000. "Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options," Econometrica, Econometric Society, vol. 68(2), pages 275-308, March.
    4. Sueyoshi, Glenn T., 1992. "Semiparametric proportional hazards estimation of competing risks models with time-varying covariates," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 25-58.
    5. Brent W. Ambrose & Michael LaCour-Little, 2001. "Prepayment Risk in Adjustable Rate Mortgages Subject to Initial Year Discounts: Some New Evidence," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 305-327.
    6. 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.
    7. Han, Aaron & Hausman, Jerry A, 1990. "Flexible Parametric Estimation of Duration and Competing Risk Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Bidisha Chakrabarty & Zhaohui Han & Konstantin Tyurin & Xiaoyong Zheng, 2006. "A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market," Caepr Working Papers 2006-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    2. Mona Said & Fatma El-Hamidi, 2008. "Taking Technical Education Seriously in MENA: Determinants, Labor Market Implications and Policy Lessons," Working Papers 450, Economic Research Forum, revised 09 Jan 2008.

    More about this item

    Keywords

    competing risk models; duration models; default risk;

    JEL classification:

    • R - Urban, Rural, Regional, Real Estate, and Transportation Economics

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