Semiparametric autoregressive conditional proportional hazard models

Frank Gerhard () and Nikolaus Hautsch
Additional contact information
Frank Gerhard: Nuffield College, Oxford, http://www.nuff.ox.ac.uk/

No 2002-W2, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: A new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model is not available in a dynamic model involving lags of the log integrated baseline hazard. We use a discretisation approach to obtain a semiparametric estimate of the baseline hazard. Second, the log integrated baseline hazard is not observed directly, but only through a threshold function. We employ a special type of observation driven dynamic which allows for a computationally simple maximum likelihood estimation. This specifications approximates a standard ARMA model in the log integrated baseline hazard and is identical if the baseline hazard is known. It is shown that this estimator is quite flexible and easily extended to include unobserved heterogeneity, censoring and state dependent hazard rates. A Monte Carlo study on the approximation quality of the model and an empirical study on BUND future trading at the former DTB complement the paper.

Keywords: autoregressive duration models; dynamic ordered response models; generalised residuals; censoring. (search for similar items in EconPapers)
JEL-codes: C22 C25 C41 G14 (search for similar items in EconPapers)
Pages: 39 pages
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.nuff.ox.ac.uk/economics/papers/2002/w2/sacph.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:nuf:econwp:0202

Access Statistics for this paper

More papers in Economics Papers from Economics Group, Nuffield College, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Maxine Collett ().