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Norwegian

Characterization and Measurement of Duration Dependence in Hazard Rates Models

Link to article:

[PDF]

Authors:

Aaberge, Rolf

Year:

2002

Reference:

Memorandum
Number in series: 7

Summary

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.

JEL:

J64

Keywords:

Hazard rate models, duration dependence orderings, summary measures of duration dependence, the Weibull distribution, PH and MPH models

Project:

Oppdragsgiver: AAD, Inntektsavdelingen
Oppdragsgivers prosjektnr.:
Frisch prosjekt: 1313 - The distribution and mobility of income