A Flexible Hazard Rate Model for Grouped Duration Data

Wolfgang Hess ()
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Wolfgang Hess: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden, http://www.nek.lu.se/en/contact

No 2009:18, Working Papers from Lund University, Department of Economics

Abstract: This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the well-known Cox proportional hazards model and a proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported to suggest that it performs well. A numerical example using US unemployment data is also provided.

Keywords: Discrete-Time Duration Model; Hazard Rate; Threshold Excess Model; Unemployment Duration (search for similar items in EconPapers)
JEL-codes: C41 J64 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-11-09
New Economics Papers: this item is included in nep-lab
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Citations: View citations in EconPapers (9)

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