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.
Item Type: | Journal article |
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Form of publication: | Publisher's Version |
Keywords: | discrete-time duration model; hazard rate; threshold excess model; link function estimation; duration of trade |
Faculties: | Mathematics, Computer Science and Statistics > Statistics > Chairs/Working Groups > Seminar for Applied Stochastic |
Subjects: | 500 Science > 510 Mathematics |
JEL Classification: | C41, C46, F14 |
Language: | German |
Item ID: | 43136 |
Date Deposited: | 12. Apr 2018, 13:23 |
Last Modified: | 04. Nov 2020, 13:18 |