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Title:Cox-McFadden Partial and Marginal Likelihoods for the Proportional Hazard Model with Random Effects PDF Logo
Authors:Ondrich, Jan I.
Issue Date:2005
Series/Report no.:DIW-Diskussionspapiere 520
Abstract:In survival analysis, Cox?s name is associated with the partial likelihood technique that allows consistent estimation of proportional hazard scale parameters without specifying a duration dependence baseline. In discrete choice analysis, McFadden?s name is associated with the generalized extreme-value (GEV) class of logistic choice models that relax the independence of irrelevant alternatives assumption. This paper shows that the mixed class of proportional hazard specifications allowing consistent estimation of scale and mixing parameters using partial likelihood is isomorphic to the GEV class. Independent censoring is allowed and I discuss approximations to the partial likelihood in the presence of ties. Finally, the partial likelihood score vector can be used to construct log-rank tests that do not require the independence of observations involved.
Subjects:proportional hazard
random effects
partial likelihood
GEV class
JEL:C41
C14
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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