Generalised residuals and heterogeneous duration models with applications to the Weibull model
type: Item
instance of: scholarly article
title: Generalised residuals and heterogeneous duration models with applications to the Weibull model
zbMATH Open document ID: 0609.62146
DOI: 10.1016/0304-4076(85)90073-9
author: Tony Lancaster
published in: Journal of Econometrics
publication date: 1985-01-01T00:00:00Z
review text: This paper deals with models for the duration of an event that are misspecified by the neglect of random multiplicative heterogeneity in the hazard function. This type of misspecification has been widely discussed in the literature but no study of its effect on maximum likelihood estimators has been given. This paper aims to provide such a study with particular reference to the Weibull regression model which is by far the most frequently used parametric model. In this paper we define generalized errors and residuals in the sense of \textit{D. R. Cox} and \textit{E. J. Snell} [J. R. Stat. Soc., Ser. B 30, 248- 275 (1968; Zbl 0164.489)] and show how their use materially simplifies the analysis of both true and misspecified duration models. We show that multiplicative heterogeneity in the hazard of the Weibull model has two errors in variables interpretations. We give the exact asymptotic inconsistency of M.L. estimation in the Weibull model and give a general expression for the inconsistency of M.L. estimators due to neglected heterogeneity for any duration model to \(O(\sigma^ 2)\), where \(\sigma^ 2\) is the variance of the error term. We also discuss the information matrix test for neglected heterogeneity in duration models and consider its behaviour when \(\sigma^ 2>0\).
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62F12
zbMATH DE Number: 3986499
zbMATH Keywords: random multiplicative heterogeneity
zbMATH Keywords: hazard function
zbMATH Keywords: misspecification
zbMATH Keywords: maximum likelihood estimators
zbMATH Keywords: Weibull regression model
zbMATH Keywords: duration models
zbMATH Keywords: errors in variables interpretations
zbMATH Keywords: exact asymptotic inconsistency
zbMATH Keywords: information matrix test
MaRDI profile type: Publication
full work available at URL: 0304-4076(85)90073-9
OpenAlex ID: W1501872023
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description: scientific article; zbMATH DE number 3986499