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Identifiability of the misspecified split hazard models

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Abstract:

Unlike standard models, a split population hazard model allows the exit probability to be less than one. Although conceptually attractive, split models are prone to identification problems. In the reduced form estimation of the hazard function, the influence of split may not be distinguishable from that of neglected heterogeneity. For illustration, I use Monte Carlo simulations to highlight the problem of interpreting the structural parameters of the split Weibull and the Weibull-gamma models.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036841003652422

Affiliations: Orfalea College of Business, California Polytechnic State University, 1 Grand AvenueSan Luis ObispoCA 93407, USA

Publication date: September 1, 2011

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