Likelihood Ratio Test in the Correlated Gamma-Frailty Model

L. Korsholm

Working Papers from Centre for Labour Market and Social Research, Danmark-

Abstract: The correlated gamma-frailty model is a generalization of Cox' proportional hazard model, which allows for correlation between individuals within the same group. The nonparametric maximum likelihood estimator in this model has previously been studied by Murphy (1994, 1995) and Parner (1998). Here we show that the likelihood ratio test can be performed with the x2 distribution as asymptotic law, with the degrees of freedom f equal to the number of Euclidean Parameters fixed under the hypothesis. As a side effect we also have a new proof for asymptotic normality and efficiency of the Euclidean component of the maximum likelihood parameter. Finally, we show how standard errors can be computed.

Keywords: MODELS; ECONOMETRICS; ECONOMETRIC MODELS; EVALUATION Aarhus C, Danmark. 15p. (search for similar items in EconPapers)
JEL-codes: C12 C14 C41 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:clmsre:98-11

Access Statistics for this paper

More papers in Working Papers from Centre for Labour Market and Social Research, Danmark- Danmark; Centre for Labour Market and Social Research. Science Park Aarhus Wieds Vej 10C, 8000 Aarhus C, Danmark. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().