Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/96794
Authors: 
van den Berg, Gerard J.
Effraimidis, Georgios
Year of Publication: 
2014
Series/Report no.: 
IZA Discussion Paper 8083
Abstract: 
Bivariate duration data frequently arise in economics, biostatistics and other areas. In bivariate frailty models, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this imposes on the implied dependence of the durations, if the frailty terms act multiplicatively on the corresponding hazard rates. Marginal frailty distributions are often taken to be gamma distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and Kendall's tau. The results are employed to compare the flexibility of specific families of bivariate gamma frailty distributions.
Subjects: 
bivariate gamma distribution
duration models
competing risks
Kendall's tau
negative and positive quadrant dependence
Pearson's correlation coefficient
unobserved heterogeneity
survival analysis
JEL: 
C41
C51
C34
C33
C32
J64
Document Type: 
Working Paper

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