Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259977 
Authors: 
Year of Publication: 
2009
Series/Report no.: 
Working Paper No. 2009:18
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
This paper proposes a discrete-time hazard regression approach based on the interrelation between hazard rate models and excess over threshold models, which are frequently encountered in extreme value modelling. The proposed duration model incorporates a grouped-duration analogue of the well-known Cox proportional hazards model and a proportional odds model as special cases. The theoretical setup of the model is motivated, and simulation results are reported to suggest that it performs well. A numerical example using US unemployment data is also provided.
Subjects: 
Discrete-Time Duration Model
Hazard Rate
Threshold Excess Model
Unemployment Duration
JEL: 
C41
J64
Document Type: 
Working Paper

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