Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92754
Authors: 
Ryu, Keunkwan
Year of Publication: 
2001
Series/Report no.: 
ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 552
Abstract: 
This article develops parametric and semi-parametric, maximum likelihood estimation methods of the proportional hazard model for the case when durations are grouped and heterogeneity is not fully measured. This article also extends Ryu's (1994b) specification tests for the proportional hazard model. The proposed test statistic is easy to implement, takes into account the form of alternative hypothesis to increase power, and identifies the source and direction of non-proportionality. This article identifies the nature of the bias resulting from neglected heterogeneity. This bias is essentially a sample selection bias, well-known in the literature. Gamma and discrete distributions are used to model unobserved heterogeneity. By updating the heterogeneity distribution at each stage of duration process, this article addresses the sample selection bias. The results obtained in this article are applied to tackle left-censoring problem.
Subjects: 
Binary choice model
Grouped duration
Hausman's specification test
Invariance property
Maximum likelihood estimation
Proportional hazard model
Unobserved heterogeneity
Left-censoring
Document Type: 
Working Paper

Files in This Item:
File
Size
271.21 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.