Characterization and Measurement of Duration Dependence in Hazard Rates Models
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 hazard rate models 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
Keywords: Hazard rate models; duration dependence orderings; summary measures of duration dependence; the Weibull distribution; PH and MPH models; (follow links to similar papers)
JEL-Codes: J64; (follow links to similar papers)
28 pages, June 16, 2003
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