Duration models. Jean-Marie Le Goff Pavie-Unil

Similar documents
Employment, Family Union, and Childbearing Decisions in Great Britain

Título artículo / Títol article: Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

Textos para Discussão PPGE/UFRGS

Milda Maria Burzała * Determination of the Time of Contagion in Capital Markets Based on the Switching Model

Application of Peleg Model to Study Water Absorption in Bean and Chickpea During Soaking

Volume-Return Relationship in ETF Markets: A Reexamination of the Costly Short-Sale Hypothesis

GROWTH AND CONVERGENCE IN THE SPACE ECONOMY : EVIDENCE FROM THE UNITED STATES

Price convergence in the European electricity market

LIQUID FLOW IN A SUGAR CENTRIFUGAL

Deakin Research Online

Economic Computation and Economic Cybernetics Studies and Research, Issue 3/2016, Vol. 50

Applicability of Investment and Profitability Effects in Asset Pricing Models

Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis

Analysis of Egyptian Grapes Market Shares in the World Markets

Market Overreaction and Under-reaction for Currency Futures Prices. January 2008

TABIE l.~ Yields of Southern Peas In Relation to Seed Coat Color and Season. Pounds per Acre of "Whole-Pod F^asgT 19?5-196l#

INSTITUTIONAL INVESTOR SENTIMENT

This paper can be downloaded without charge from the Social Sciences Research Network Electronic Paper Collection:

AN ECONOMIC EVALUATION OF THE HASS AVOCADO PROMOTION ORDER S FIRST FIVE YEARS

The Design of a Forecasting Support Models on Demand of Durian for Export Markets by Time Series and ANNs

Global financial crisis and spillover effects among the U.S. and BRICS stock markets

On the relationship between inventory and financial performance in manufacturing companies Vedran Capkun HEC Paris, Paris, France

The Spillover Effects of U.S. and Japanese Public Information News in. Advanced Asia-Pacific Stock Markets

Hi-Stat. Discussion Paper Series. Estimating Production Functions with R&D Investment and Edogeneity. No.229. Young Gak Kim.

The Influence of Earnings Quality and Liquidity on the Cost of Equity

Modelling Financial Markets Comovements During Crises: A Dynamic Multi-Factor Approach.

NBER WORKING PAPER SERIES A SIMPLE TEST OF THE EFFECT OF INTEREST RATE DEFENSE. Allan Drazen Stefan Hubrich

Testing for the Random Walk Hypothesis and Structural Breaks in International Stock Prices

Monetary Policy Impacts on Cash Crop Coffee and Cocoa Using. Structural Vector Error Correction Model

Out-of-Sample Exchange Rate Forecasting and. Macroeconomic Fundamentals: The Case of Japan

PRODUCTION PERFORMANCE OF MAIZE IN INDIA : APPROACHING AN INFLECTION POINT

Sustainability of external imbalances in the OECD countries *

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification *

International Trade and Finance Association THE EFFECT OF EXCHANGE RATE CHANGES ON TRADE BALANCES IN NORTH AFRICA: EVIDENCE

Supply and Demand Model for the Malaysian Cocoa Market

Paper for Annual Meeting 2015 Abstract. World Trade Flows in Photovoltaic Cells: A Gravity Approach Including Bilateral Tariff Rates * Abstract

CO2 Emissions, Research and Technology Transfer in China

The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate

Volatility and risk spillovers between oil, gold, and Islamic and conventional GCC banks

Inter-regional Transportation and Economic Development: A Case Study of Regional Agglomeration Economies in Japan

Investor Herds in the Taiwanese Stock Market

The Long-Run Volatility Puzzle of the Real Exchange Rate. Ricardo Hausmann Kennedy School of Government Harvard University

What Determines the Future Value of an Icon Wine? New Evidence from Australia. Danielle Wood

POLICY RELEVANCE SUMMARY

PRODUCTIVE EFFICIENCY OF PORTUGUESE VINEYARD REGIONS

Accounting Fundamentals and Variations of Stock Price: Forward Looking Information Inducement

Stock Market Liberalizations and Efficiency: The Case of Latin America

Essays on Board of Directors External Connections. Sehan Kim. B.A., Applied Statistics, Yonsei University, 2001

Working Paper

DOCUMENTOS DE ECONOMÍA Y FINANZAS INTERNACIONALES. Working Papers on International Economics and Finance

The dawn of reproductive change in north east Italy. A microanalysis

Imputation of multivariate continuous data with non-ignorable missingness

A Macro Assessment of China Effects on Malaysian Exports and Trade Balances

THE UNIVERSITY OF TEXAS AT SAN ANTONIO, COLLEGE OF BUSINESS Working Paper SERIES

Ethyl Carbamate Production Kinetics during Wine Storage

IRREVERSIBLE IMPORT SHARES FOR FROZEN CONCENTRATED ORANGE JUICE IN CANADA. Jonq-Ying Lee and Daniel S. Tilley

Prices of Raw Materials, Budgetary Earnings and Economic Growth: A Case Study of Côte d Ivoire

Jordan Journal of Mathematics and Statistics (JJMS) 8(3), 2015, pp

Taking Advantage of Global Diversification: A Mutivariate-Garch Approach

Zeitschrift für Soziologie, Jg., Heft 5, 2015, Online- Anhang

Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets

Preferred citation style

The Role of Infrastructure Investment Location in China s Western Development

Citation for published version (APA): Hai, L. T. D. (2003). The organization of the liberalized rice market in Vietnam s.n.

Gail E. Potter, Timo Smieszek, and Kerstin Sailer. April 24, 2015

Appendix A. Table A.1: Logit Estimates for Elasticities

Religion and Innovation

Flexible Working Arrangements, Collaboration, ICT and Innovation

Analysis of Influencing Factors of Deviation of Consumer Willingness and Behavior in Popular Tea Consumption

RESEARCH UPDATE from Texas Wine Marketing Research Institute by Natalia Kolyesnikova, PhD Tim Dodd, PhD THANK YOU SPONSORS

Valuation in the Life Settlements Market

Pub mentors. Greets Inn, Warnham. The Great Lyde, Yeovil. The Elephant, Bristol. College Arms, Stratford

// Meal Plan, Recipes & Shopping list. Meal Plan. Recipes. &Shopping list 7 DAY RAW FOOD PLAN 7 DAY RAW FOOD PLAN. therawfoodkitchen.

AJAE Appendix: Testing Household-Specific Explanations for the Inverse Productivity Relationship

BORDEAUX WINE VINTAGE QUALITY AND THE WEATHER ECONOMETRIC ANALYSIS

Missing Data Treatments

Gender and Firm-size: Evidence from Africa

Volume 30, Issue 1. Gender and firm-size: Evidence from Africa

Asia-Pacific Interest Rate Movements: A Tale Of A Two-Horse Sleigh. Do Quoc Tho Nguyen, Thi Thu Ha Phi, Thuy-Duong Tô * Abstract

Suicide Mortality Risk in the United States by Sex and Age Groups

Multiple Imputation for Missing Data in KLoSA

Transportation demand management in a deprived territory: A case study in the North of France

The R&D-patent relationship: An industry perspective

From Lifetime Jobs to Churning?

ECONOMIC REVIEW No

What s Hot, 2014 Culinary Forecast, National Restaurant Association.

Burgers. get 1. case BIG BUCK$ free! up to. Buy 2. cases. $5 per $ Need a Bit More Inspiration? Merchandising Ideas! Savings & ( Menu Ideas

Coffee Price Volatility and Intra-household Labour Supply: Evidence from Vietnam

Trade Integration and Method of Payments in International Transactions

Web Appendix to Identifying Sibling Inuence on Teenage Substance Use. Joseph G. Altonji, Sarah Cattan, and Iain Ware

Wine-Tasting by Numbers: Using Binary Logistic Regression to Reveal the Preferences of Experts

Missing Data: Part 2 Implementing Multiple Imputation in STATA and SPSS. Carol B. Thompson Johns Hopkins Biostatistics Center SON Brown Bag 4/24/13

The Financing and Growth of Firms in China and India: Evidence from Capital Markets

Table A.1: Use of funds by frequency of ROSCA meetings in 9 research sites (Note multiple answers are allowed per respondent)

The Determinants of Supply of Kenya s Major Agricultural Crop Exports from 1963 to 2012

The premium for organic wines

PENNSYLVANIA COMPENSATION RATING BUREAU. Proposed Excess Loss (Pure Premium) Factors

wine 1 wine 2 wine 3 person person person person person

A latent class approach for estimating energy demands and efficiency in transport:

Economics of grape production in Marathwada region of Maharashtra state

Transcription:

Duraion models Jean-Marie Le Goff Pavie-Unil

Oher erms for duraion models Duraion models: economery Survival analysis : medical sciences, demography Even hisory analysis, ransiion analysis : social sciences

Ouline Aim of even hisory analysis How o prepare daa? Rule of precauions Censoring To invesigae daa The life able command in SPSS Elemens of hazard regression models The choice of a model (Cox model, ime discree logi model) The person-period file for discree ime models Esimaions Inerpreaion of resuls Example of Inerne adopion on panel daa

Aims of even hisory analysis Sae (Y) Even = A ransiion or a swich from a sae 0 o a sae 1 «A change in a variable» (Tuma & Hannan 1984) 1 0 Duraion a risk o experience he even l ime -Esimaion of he disribuion of he risk or he hazard o experimen he even along he ime - Influences of individual and conexual characerisics on he hazard

Noaions Discree ime Coninuous ime P( l ) = P( T = l T l ) PT ( < +Δ T ) h ( ) = lim Δ 0 Δ The hazard corresponds o he condiional probabiliy o experience he even = Probabiliy o experience he even a ime given ha people did no experience i before

Before running an even hisory analysis Do no deermine he fuure of individuals The risk of occurrence of an even depends on he pas and he presen of individuals and no of heir fuure A second marriage canno explain a firs divorce The rule is o follow individuals hrough ime

To operaionalize an analyze Definiion of he analyze Definiion of he populaion submied o he risk Time 0 and clock Independan covariaes To define censors Fixed covariaes and ime dependan covariaes To have experience he even or no Example Firs union formaion Individual who never cohabied wih a parner Age from 16 years before To ge in a firs union Religion, pracice. Ec. People who did no ge ino a union

Censoring Lef censors Righ censors o max

A couple of wo dependen Age from 16 years old o : variables If a firs union : age of his firs union formaion If no : age a he momen of he survey Censors: Everybody is considered o be submied o he risk unil he disappearance of he populaion (because of union formaion, or because of he momen of he survey) 0 : people who did no ge ino a union 1: people who ge ino a cohabiing union 2: people who ge ino a direc marriage

How o invesigae daa. The life able mehod Hazard o experience he even in discree ime: condiional probabiliy o experience he even P( l ) = Number Number of of evens occured beween i me l and ime l + 1 persons who did no experience he even a ime l -E l = Number of evens in l -C l = Numbers of censoring spells during he inerval [ l, l+1 ] -R l = number of persons who did no experience he even in l, = number of persons who have an observed or censored duraion greaer or equal o l P( l ) = R l El 1 C 2 l

Probabiliy of survival (probabiliy o no have experienced he even) S( ) = (1 P(0))(1 P(1))...(1 P( )) S( ) = u= Π (1 u= o P( u))

Hazard rae (Hazard in case of coninuous ime) h = Number of evens during an inerval of ime Number of person -years submiing o experience he even -E l = Number of evens in l -C l = Numbers of censoring spells during he inerval [ l, l+1 ] -R l = number of persons who did no experience he even in l, = number of persons who have an observed or censored duraion greaer or equal o l h ( l ) = R l 1 2 E l ( E C ) l l

How o choose beween a Cox model and discree ime logisic Cox model Logisique Coninuous ime Discree ime A small uni of ime A large uni of ime Less han 5% of individuals experience he even during a ime inerval More han 5%

Coninuous ime vs discree ime Classic models (Cox models) are based on a coninuous ime (ime in days in medical research) Two kinds of discree ime: «rue» discree process of daa generaion (acces ino higher degree for a populaion of sudens) Coninuous process of daa generaion bu long inerval beween measures

Cox model h h (, x ) = h0 ( ) exp( β ) x = h ( ) exp i (, x ) 0 x i β i Où β1 β2 β = β 3... β n coefficiens o be esimaed -Non-parameric composan of he model : risk in he case of individuals who have all heir characerisic x =0 (individual of reference)

Time discree logisic model α : foncion of ime ( ) [ ] x x P x P x x P β α β α + = + + = ), ( 1 ), ( log exp 1 1 ), (

Alernaives Discree ime logi models should be used in case of a «rue» discree process of daa generaion Alernaive 1: discree ime probi models Alernaive 2: discree ime complemenary log-log models. Theoriically more adequae if he process of daa generaion is coninuous like in he case of he panel Logi model remains he more diffused and developped in he lieraure because of is simpliciy

Preparaion of a daabase (Allison, 1982) The equaion of log-likelihood for discree ime models can be simplified in an equaion of log-likelihood of a dichoomic covariae Which means ha discree models can be esimaed on a «person wave» daabase (person-period daabase) An individual is represened by a number of lines equal o he number of waves he is presen before o experimen he even or o leave he observaion The dichoomic dependan variable is equal o 0 in all lines excep in he las one where i is 0 or 1 (censored or even) Remains rue when several levels in he daa (Barber e al, 2000).

File person-year ID Age Censor 55102 16 0 55102 17 0 55102 18 0 55102 19 1 88102 16 0 88102 17 0 88102 18 0 88102 19 0 88102 20 2 91102 16 0 91102 17 0 91102 18 0 91102 19 0 91102 20 0 91102 21 0 91102 22 2 112102 16 0 112102 17 0 112102 18 2 218101 16 0 218101 17 0 218101 18 0 218101 19 0 218101 20 0 218101 21 0 218101 22 0 218101 23 2

Noes on covariaes x Fixed covariaes (non-ime dependen) Saus a he birh Saus reached before he beginning of he observaion Time dependan covariaes Predefined covariaes (clocks) Auxiliary covariaes (conex) Inernal covariaes (inerdependencies, linked lives)

Example of inerne adopion Even hisory can also be used o analyse processes of diffusion of an innovaion, a behavior, a rumor, (Dieckmann; 1989, Srang and Tuma, 1993) Influence beween persons in a household Does a firs user in an household influence ohers? If yes, increase in he probabiliy o adop inerne when a firs person adoped i. Limied here o parners Does he adopion of inerne by he man (he woman) increase he risk of adopion of his (her) parner?

Use of Inerne 100.0 % 90.0 80.0 70.0 60.0 50.0 40.0 30.0 20.0 10.0 Source: BFS (MA_ne,Ne- Marix base) and Swisspanel 0.0 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Resrained circle Exended circle Panel

In he presen case Selecion of couples saring o be inerviewed in 1999 and who did no declare o use inerne in 1999. Couples wih no missing values on he use of inerne Conrol covariaes (educaion, language, ec).

File +1 ID IDHOUS NUMBER INTERNET COVARIATES IDPART INTERNET PARTENAIRE 4102 41 1 0 4101 1 4102 41 2 0 4101 1 4102 41 3 1 4101 1 74101 741 1 0 74102 0 74101 741 2 0 74102 0 74101 741 3 0 74102 0 74101 741 4 0 74102 0 74101 741 5 0 74102 0 74101 741 6 0 74102 0 74101 741 7 0 74102 0 74101 741 8 1 74102 0

RESULTS (esimaed coefficiens) Men Women Model 1 Model 2 Model 3 Model 1 Model 2 Model 3 Consan -0.55 *** -1.79 *** -2.88 *** -1.00 *** -2.27 *** -3.42 *** 1999-2000 0 0 0 0 0 0 2000-01 -0.60 *** -0.56 *** -0.46 *** -0.46 *** -0.59 *** -0.46 *** 2001-02 -0.81 *** -0.74 *** -0.59 *** -0.41 *** -0.58 *** -0.40 * 2002-03 -1.16 *** -1.06 *** -0.91 *** -0.83 *** -0.99 *** -0.75 *** 2003-04 -1.74 *** -1.59 *** -1.44 *** -0.96 *** -1.13 *** -0.88 ** 2004-05 -1.89 *** -1.79 *** -1.62 *** -0.96 *** -1.11 *** -0.83 ** 2005-06 -1.70 *** -1.47 *** -1.37 *** -0.94 *** -1.04 *** -0.76 ** 2006-07 -1.51 *** -1.21 *** -1.07 *** -1.01 *** -1.02 *** -0.71 * Children 0.72 *** 0.12 0.58 *** -0.22 Compuer 1.34 *** 1.13 *** 0.95 *** 0.79 *** Parner already use -0.09-0.11 0.62 *** 0.53 *** Before 1940 0 0 0 0 1940_49 1.05 *** 0.95 *** 1950_59 1.31 *** 1.84 *** 1960_69 1.53 *** 1.90 *** 1970 and afer 1.50 *** 2.32 *** Level1 0 0 Level 2 0.14 0.27 Level 3 0.70 *** 0.98 *** German 0 0 French -0.07-0.29 * Ialian -0.53-0.35 Oher -0.44-1.18 *** Non-Swiss 0.23-0.01 *:5%,**:1%,***,0,1%.

References Blossfeld H.P. and Rohwer G (1995) Techniques of even hisory modelling. Mahwah: Lawrence Erlbaum. Box-Sephensmeier J. and Jones B. (2004). Even Hisory Modeling: A Guide for Social Scieniss. Cambridge: Cambridge Universiy Press. Singer J.D. and Wille J.B. (2003). Applied Longiudinal Daa Analysis. Modelling change and Even Occurrence. Oxford. Oxford Universiy Press.