Arbeitspapier

Dependence Measures in Bivariate Gamma Frailty Models

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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.

Sprache
Englisch

Erschienen in
Series: IZA Discussion Papers ; No. 8083

Klassifikation
Wirtschaft
Duration Analysis; Optimal Timing Strategies
Model Construction and Estimation
Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Unemployment: Models, Duration, Incidence, and Job Search
Thema
bivariate gamma distribution
duration models
competing risks
Kendall's tau
negative and positive quadrant dependence
Pearson's correlation coefficient
unobserved heterogeneity
survival analysis

Ereignis
Geistige Schöpfung
(wer)
van den Berg, Gerard J.
Effraimidis, Georgios
Ereignis
Veröffentlichung
(wer)
Institute for the Study of Labor (IZA)
(wo)
Bonn
(wann)
2014

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • van den Berg, Gerard J.
  • Effraimidis, Georgios
  • Institute for the Study of Labor (IZA)

Entstanden

  • 2014

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