LILLARDHAZ: Stata module to estimate simultaneous-equations hazard/probit models with a Gaussian-copula correlation (Lillard 1993)

Nobutaka Fukuda ()
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Nobutaka Fukuda: Tohoku University

Statistical Software Components from Boston College Department of Economics

Abstract: lillardhaz fits a two-equation simultaneous model of the kind introduced in Lillard (J. Econometrics, 1993): a pair of processes -- each a binary probit outcome or a continuous-time hazard duration -- linked through a single correlation parameter rho between their underlying error terms, estimated jointly by maximum likelihood via a Gaussian copula. Equation 1 (eq1()) may be a probit, a log-normal hazard, or a piecewise (linear-log-hazard) Gompertz hazard with an arbitrary number of user-specified nodes; equation 2 (eq2()) is always a hazard, log-normal or piecewise Gompertz. With nocorr, the two equations are fit under the (testable) restriction rho=0, which -- as shown in The model below -- reduces exactly to two independent univariate fits.

Language: Stata
Requires: Stata version 17
Keywords: hazard model; probit model; Gaussian copula (search for similar items in EconPapers)
Date: 2026-09-25
Note: This module should be installed from within Stata by typing "ssc install lillardhaz". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lillardhaz.ado
http://fmwww.bc.edu/repec/bocode/l/lillardhaz.sthlp
http://fmwww.bc.edu/repec/bocode/_/_lillardhaz_pgomp.ado
http://fmwww.bc.edu/repec/bocode/l/lillardhaz_d0.ado
http://fmwww.bc.edu/repec/bocode/l/lillardhaz_p.ado

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