Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/96794 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 8083
Verlag: 
Institute for the Study of Labor (IZA), Bonn
Zusammenfassung: 
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.
Schlagwörter: 
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
Dokumentart: 
Working Paper

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