Scandinavian Working Papers in Economics
DaCHE discussion papers,
University of Southern Denmark, Dache - Danish Centre for Health Economics
No 2016:6: Nonparametric Identification of a Time-Varying Frailty Model
Georgios Effraimidis ()
Additional contact information
Georgios Effraimidis: COHERE, Postal: Department of Business and Economics, University of Southern Denmark
Abstract: In duration analysis, the Mixed Proportional Hazard model is the most common choice among practitioners for the specification of the underlying hazard rate. One major drawback of this model is that the value of the frailty term (i.e. unobserved factors) is time-invariant. This paper introduces a new model, the Mixed Random Hazard (MRH) model, which allows the frailty term to be time-varying. We provide sufficient conditions under which the new model is nonparametrically identified. Moreover, a theoretical framework is proposed for testing whether the true model is MRH. We conclude this paper with a discussion of how the arguments for the univariate MRH model can be extended to various multivariate problems.
Keywords: Competing risks model; Duration analysis; Mixed random hazard; Time-varying frailty
35 pages, July 25, 2016
Full text files
wp_2016_6.pdf?la=en
- University of Southern Denmark, Dache - Danish Centre for Health Economics
- Home page for this series
Questions (including download problems) about the papers in this series should be directed to Christian Volmar Skovsgaard ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 17:13:33.