A Flexible Link Function for Discrete-Time Duration Models

Hess, Wolfgang; Tutz, Gerhard und Gertheiss, Jan (2016): A Flexible Link Function for Discrete-Time Duration Models. In: Journal of Economics and Statistics, Bd. 236, Nr. 4: S. 455-481

Abstract

This paper proposes a discrete-time hazard regression approach based on the relation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model employs a flexible link function and incorporates the grouped-duration analogue of the well-known Cox proportional hazards model and the proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported, suggesting that the model proposed performs well. The simulation results and an empirical analysis of US import durations also show that the choice of link function in discrete hazard models has important implications for the estimation results, and that severe biases in the results can be avoided when using a flexible link function.

• Dokumententyp: Zeitschriftenartikel
• Publikationsform: Publisher's Version
• Keywords: discrete-time duration model; hazard rate; threshold excess model; link function estimation; duration of trade
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Lehrstühle/Arbeitsgruppen > Seminar für angewandte Stochastik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• JEL Classification: C41, C46, F14
• Sprache: Deutsch