Provider: Ingenta Connect
Database: Ingenta Connect
Content: application/x-research-info-systems
TY - ABST
AU - Zuehlke, Thomas W.
TI - Estimation and testing of nonproportional Weibull hazard models
JO - Applied Economics
PY - 2013-05-01T00:00:00///
VL - 45
IS - 15
SP - 2059
EP - 2066
KW - C51
KW - C41
KW - hazard
KW - duration
KW - Weibull
KW - nonproportional
N2 - Most applications of the Weibull hazard model specify a common shape parameter. This is a proportional hazard model that imposes a common rate of duration dependence. A wide class of nonproportional Weibull models may be estimated by making the shape parameter a linear function of observable
regressors. The log-likelihood function for these models is well behaved. The conditions under which this generalization is useful are essentially the same conditions under which interaction terms are useful in classical regression. Since the nonproportional model nests the proportional model,
a formal test for nonproportionality may be conducted by likelihood ratio test. Estimation and testing of nonproportional models is illustrated with data sets for housing sales, out-of-court settlements and oil field exploration. Finally, estimation of a proportional Weibull model after adding
temporal interaction terms to the regressors that specify the scale parameter is shown to be a fundamental misspecification. The standard log-likelihood function fails to recognize the stochastic nature of temporal interaction terms and the resulting estimates often fall outside the parameter
space of the Weibull.
UR - http://www.ingentaconnect.com/content/routledg/raef/2013/00000045/00000015/art00011
M3 - doi:10.1080/00036846.2011.648322
UR - https://doi.org/10.1080/00036846.2011.648322
ER -