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Mathematik, Informatik und Statistik - Open Access LMU - Teil 03/03 Podcast
A Flexible Link Function for Discrete-Time Duration Models

A Flexible Link Function for Discrete-Time Duration Models

Mathematik, Informatik und Statistik - Open Access LMU - Teil 03/03 vor 12 Jahren

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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 to suggest that it
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 as proposed in this
study.