Association measures for durations in bivariate hazard rate models

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Abstract

In multivariate hazard rate models, the duration variables are dependent if their unobserved determinants are dependent on each other. This paper derives properties of association measures for these duration variables. Sharp bounds for correlations are derived in the general case as well as in cases in which the bivariate distribution of unobserved heterogeneity belongs to specific families. Similar results are derived for Kendall's tau, which does not depend on the shape of the baseline hazard. The results are useful for empirical analyses, as they can be used to compare the flexibility of different heterogeneity distributions.
Original languageEnglish
Pages (from-to)221-245
Number of pages25
JournalJournal of Econometrics
Volume79
Issue number2
DOIs
Publication statusPublished - Aug-1997
Externally publishedYes

Keywords

  • Bivariate duration models
  • Competing risks
  • Correlation
  • Duration models
  • Kendall's tau

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