A Flexible Link Function for Discrete-Time Duration Models

Hess Wolfgang (), Tutz Gerhard () and Gertheiss Jan ()
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Hess Wolfgang: Department of Economics and Centre for Economic Demography, Lund University, P.O. Box 7082, 22007 Lund, Sweden
Tutz Gerhard: Department of Statistics, Ludwig Maximilian University of Munich, Akademiestraße 1, 80799 Munich, Germany
Gertheiss Jan: Department of Animal Sciences, University of Göttingen, Germany and Centre for Statistics, University of Göttingen, Carl-Sprengel-Weg 1, 37075 Göttingen, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2016, vol. 236, issue 4, 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, and that severe biases in the results can be avoided when using a flexible link function.

Keywords: discrete-time duration model; hazard rate; threshold excess model; link function estimation; duration of trade (search for similar items in EconPapers)
JEL-codes: C41 C46 F14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:236:y:2016:i:4:p:455-481

DOI: 10.1515/jbnst-2015-1022

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