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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2009:18:
A Flexible Hazard Rate Model for Grouped Duration Data

Wolfgang Hess ()

Abstract: This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the well-known Cox proportional hazards model and a 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. A numerical example using US unemployment data is also provided.

Keywords: Discrete-Time Duration Model; Hazard Rate; Threshold Excess Model; Unemployment Duration; (follow links to similar papers)

JEL-Codes: C41; J64; (follow links to similar papers)

30 pages, November 9, 2009

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