Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 07/2002: Characterization and Measurement of Duration Dependence in Hazard Rates Models

Rolf Aaberge ()
Additional contact information
Rolf Aaberge: The Ragnar Frisch Centre for Economic Research, Postal: Ragnar Frisch Centre for Economic Research, Gaustadalléen 21, N-0349 Oslo, Norway, http://www.frisch.uio.no/frisch_eng.html

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 dependence.

Keywords: Hazard rate models; duration dependence orderings; summary measures of duration dependence; the Weibull distribution; PH and MPH models

JEL-codes: J64

28 pages, June 16, 2003

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