首页    期刊浏览 2024年12月01日 星期日
登录注册

文章基本信息

  • 标题:A Simple Test for the Absence of Covariate Dependence in Duration Models
  • 本地全文:下载
  • 作者:Bhattacharjee, A.
  • 期刊名称:Cambridge Working Papers in Economics / Faculty of Economics ; Department of Applied Economics
  • 出版年度:2004
  • 卷号:1
  • 出版社:Cambridge University
  • 摘要:

    Abstract: This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against the omnibus alternative, where the covariate is continuous. The tests developed are also useful in detecting trend in the underlying hazard rates (i.e., when the alternative hypothesis postulates that the hazard function is increasing or decreasing in the value of the covariate, for all durations) or changepoint trend alternatives (where the hazard function increases in covariate value over one range of the covariate space, and decreases over another). Asymptotic distributions of the test statistics are established using counting process techniques. Small sample properties of the tests are studied, and the use of the tests in empirical applications is illustrated.

  • 关键词:Covariate dependence; Continuous covariate; Two-sample tests; Trend tests
国家哲学社会科学文献中心版权所有