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Title:Characterization and measurement of duration dependence in Hazard rate models PDF Logo
Authors:Aaberge, Rolf
Issue Date:2002
Series/Report no.:Memorandum, Department of Economics, University of Oslo 2002,07
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.
Subjects:Hazard rate models
duration dependence orderings
summary measures of duration dependence
the Weibull distribution
PH and MPH models
JEL:J64
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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