Multiple spells in the Prentice-Gloeckler-Meyer likelihood with unobserved heterogeneity

Jan Ondrich, Stephen E. Rhody

Research output: Contribution to journalArticle

4 Scopus citations

Abstract

Based on previous work by Prentice and Gloeckler (Prentice, R.L., Gloeckler, L.A., 1978. Regression analysis of grouped survival data with application to breast cancer data. Biometrics 34, 57-67), Meyer shows how to estimate, for single-spell data, a proportional hazard with time-varying covariates and unobserved heterogeneity for which the effect of time on the hazard rate is specified non-parametrically. With multiple-spell data, the number of terms in each likelihood contribution grows geometrically with the number of spells. We present a systematic method of ordering the terms in the multiple-spell case and using the binary representation of the order number to construct the likelihood contributions.

Original languageEnglish (US)
Pages (from-to)139-144
Number of pages6
JournalEconomics Letters
Volume63
Issue number2
DOIs
StatePublished - May 1999

Keywords

  • C14
  • C41
  • Multiple spells
  • Proportional hazard
  • Semiparametric estimation
  • Unobserved heterogeneity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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