A Flexible Link Function for Discrete-Time Duration Models
(2016) In Jahrbucher fur Nationalokonomie und Statistik 236(4). p.455-481- Abstract
This paper proposes a discrete-time hazard regression approach based on the relation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model employs a flexible link function and incorporates the grouped-duration analogue of the well-known Cox proportional hazards model and the proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported, suggesting that the model proposed performs well. The simulation results and an empirical analysis of US import durations also show that the choice of link function in discrete hazard models has important implications for the estimation results,... (More)
This paper proposes a discrete-time hazard regression approach based on the relation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model employs a flexible link function and incorporates the grouped-duration analogue of the well-known Cox proportional hazards model and the proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported, suggesting that the model proposed performs well. The simulation results and an empirical analysis of US import durations also show that the choice of link function in discrete hazard models has important implications for the estimation results, and that severe biases in the results can be avoided when using a flexible link function.
(Less)
- author
- Hess, Wolfgang LU ; Tutz, Gerhard and Gertheiss, Jan
- organization
- publishing date
- 2016-08-01
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- discrete-time duration model, duration of trade, hazard rate, link function estimation, threshold excess model
- in
- Jahrbucher fur Nationalokonomie und Statistik
- volume
- 236
- issue
- 4
- pages
- 27 pages
- publisher
- De Gruyter
- external identifiers
-
- scopus:84978884625
- wos:000385014700002
- ISSN
- 0021-4027
- DOI
- 10.1515/jbnst-2015-1022
- language
- English
- LU publication?
- yes
- id
- d4a7dbb0-4726-4df7-8705-4514c87f24cb
- date added to LUP
- 2016-12-14 12:03:17
- date last changed
- 2024-06-28 21:40:10
@article{d4a7dbb0-4726-4df7-8705-4514c87f24cb,
abstract = {{<p>This paper proposes a discrete-time hazard regression approach based on the relation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model employs a flexible link function and incorporates the grouped-duration analogue of the well-known Cox proportional hazards model and the proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported, suggesting that the model proposed performs well. The simulation results and an empirical analysis of US import durations also show that the choice of link function in discrete hazard models has important implications for the estimation results, and that severe biases in the results can be avoided when using a flexible link function.</p>}},
author = {{Hess, Wolfgang and Tutz, Gerhard and Gertheiss, Jan}},
issn = {{0021-4027}},
keywords = {{discrete-time duration model; duration of trade; hazard rate; link function estimation; threshold excess model}},
language = {{eng}},
month = {{08}},
number = {{4}},
pages = {{455--481}},
publisher = {{De Gruyter}},
series = {{Jahrbucher fur Nationalokonomie und Statistik}},
title = {{A Flexible Link Function for Discrete-Time Duration Models}},
url = {{http://dx.doi.org/10.1515/jbnst-2015-1022}},
doi = {{10.1515/jbnst-2015-1022}},
volume = {{236}},
year = {{2016}},
}