Lagged Duration Dependence in Mixed Proportional Hazard Models
نویسنده
چکیده
Lagged Duration Dependence in Mixed Proportional Hazard Models We study the non-parametric identification of a mixed proportional hazard model with lagged duration dependence when data provide multiple outcomes per individual or stratum. We show that the information conveyed by the within strata variation can be exploited to nonparametrically identify lagged duration dependence in more general models than in the literature. JEL Classification: C14, C41
منابع مشابه
Grouped Mixed Proportional Hazard Models with Social Interactions
In this paper we develop mixed proportional hazard models in discrete time when there is cross sectional duration dependence because of the social interactions. To capture the cross sectional dependence, we use the lagged binary indicators of neighbors, which are weighted by the spatial weight matrix. We investigate the nonparametric specification for the baseline hazard and the unobserved hete...
متن کاملExamining Effective Factors on Duration Time of Recommitment Using Cox's Proportional Hazard Model
Abstract. Recently, in most of scientific studies, the use of survival analysis is performed for examining duration time models. One of the important applications of survival analysis is the study of recommitment crime in criminology which has not yet been considered in Iran. So, with attention to the necessity and importance of predicting recommitment time and the analysis of duration model...
متن کاملStochastic and Dependence Comparisons Between Extreme Order Statistics in the Case of Proportional Reversed Hazard Model
Independent random variables $Y_{1},ldots ,Y_{n}$ belongs to the proportional reversed hazard rate (PRHR) model with proportionality parameters $lambda_1,...,lambda_n$, if $Y_{k}sim G^{lambda _{k}}(x)$, for $k=1,...,n$, where $G$ is an absolutely continuous distribution function. In this paper we compare the smallest order statistics, the sample ranges and th...
متن کاملLife Duration of New Firms in Iranian Manufacturing Industries Using Cox Proportional Hazard Model
In this paper, the Cox proportional hazard model is used to answer several questions. In general, fourteen variables are applied in four groups: firm, industry, expenditure human resources specific characteristics as well. According to the previous literature in this field, the findings of this paper also show that the factors which affect life duration of firms are different between industries...
متن کاملIdentification Results for Duration Models with Multiple Spells or Time–varying Covariates
The main purpose of this paper is to investigate the identifiability of duration models with multiple spells. We prove that the results of Elbers and Ridder (1982) and Heckman and Singer (1984) can be generalized to multi–spell models with lagged duration dependence. We also prove that without lagged duration dependence, the identification result does not depend on moment conditions or tail con...
متن کامل