A Model Selection Test for Bivariate Failure-Time Data

Xiaohong Chen () and Yanqin Fan ()
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Yanqin Fan: Department of Economics, Vanderbilt University

No 421, Vanderbilt University Department of Economics Working Papers from Vanderbilt University Department of Economics

Abstract: In this paper, we address two important issues in survival model selection for censored data generated by the Archimedean copula family; method of estimating the parametric copulas and data reuse. We demonstrate that for model selection, estimators of the parametric copulas based on minimizing the selection criterion function may be preferred to other estimators. To handle the issue of data reuse, we put model selection in the context of hypothesis testing and propose a simple test for model selection from a finite number of parametric copulas. Results from a simulation study and two empirical applications provide strong support to our theoretical findings.

Keywords: Archimedean copula; bivariate survival function; data reuse; minimum-distance estimation; model selection (search for similar items in EconPapers)
JEL-codes: C14 C34 C52 (search for similar items in EconPapers)
Date: 2004-08, Revised 2004-10
New Economics Papers: this item is included in nep-ecm
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http://www.accessecon.com/pubs/VUECON/vu04-w21.pdf Revised, 2004 (application/pdf)

Related works:
Journal Article: A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:van:wpaper:0421

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