Dependence Measures in Bivariate Gamma Frailty Models

Gerard van den Berg and Georgios Effraimidis ()
Additional contact information
Georgios Effraimidis: University of Southern Denmark

No 8083, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this imposes on the implied dependence of the durations, if the frailty terms act multiplicatively on the corresponding hazard rates. Marginal frailty distributions are often taken to be gamma distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and Kendall's tau. The results are employed to compare the flexibility of specific families of bivariate gamma frailty distributions.

Keywords: bivariate gamma distribution; duration models; competing risks; Kendall's tau; negative and positive quadrant dependence; Pearson's correlation coefficient; unobserved heterogeneity; survival analysis (search for similar items in EconPapers)
JEL-codes: C32 C33 C34 C41 C51 J64 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-03
New Economics Papers: this item is included in nep-ecm and nep-ger
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://docs.iza.org/dp8083.pdf (application/pdf)

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:iza:izadps:dp8083

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().