Characterization and measurement of duration dependence in hazard rate models
Working paper
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http://hdl.handle.net/11250/180125Utgivelsesdato
2002Metadata
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Sammendrag
Abstract:
As is known from the economic literature, the notion of negative/positive duration dependence
defined in terms of a decreasing/increasing hazard function can solely be used as a basis for
revealing whether negative/positive duration dependence is present or not. However, when concern
is directed to comparison and measurement of the extent of duration dependence in duration
distributions alternative definitions and methods are called for. To this end we propose a stronger as
well as a weaker version of the standard definition of duration dependence and demonstrate that
these definitions form a useful basis for developing appropriate duration dependence orderings and
summary measures of duration dependence.
Keywords: Hazard rate models, duration dependence orderings, summary measures of duration
dependence, the Weibull distribution, PH and MPH models.