Characterization and Measurement of Duration Dependence in Hazard Rate Models

Rolf Aaberge

Discussion Papers from Statistics Norway, Research Department

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 duration distributions 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. (search for similar items in EconPapers)
JEL-codes: J64 (search for similar items in EconPapers)
Date: 2002-05
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.ssb.no/a/publikasjoner/pdf/DP/dp319.pdf (application/pdf)

Related works:
Working Paper: Characterization and Measurement of Duration Dependence in Hazard Rates Models (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssb:dispap:319

Access Statistics for this paper

More papers in Discussion Papers from Statistics Norway, Research Department P.O.Box 8131 Dep, N-0033 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by L Maasø ().