A likelihood ratio test for stationarity of rating transitions

Weißbach, Rafael; Walter, Ronja

doi:10.1016/j.jeconom.2009.10.016

Cited by 19 publications

(8 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…An analytic treatment of the multi-state model, however without left-censoring and left-truncation, is found e.g. in Weißbach and Walter ( 2010 ); Kim et al. ( 2012 ).…”

Section: Discussionmentioning

confidence: 99%

Left-censored dementia incidences in estimating cohort effects

et al. 2020

Self Cite

View full text Add to dashboard Cite

We estimate the dementia incidence hazard in Germany for the birth cohorts 1900 until 1954 from a simple sample of Germany’s largest health insurance company. Followed from 2004 to 2012, 36,000 uncensored dementia incidences are observed and further 200,000 right-censored insurants included. From a multiplicative hazard model we find a positive and linear trend in the dementia hazard over the cohorts. The main focus of the study is on 11,000 left-censored persons who have already suffered from the disease in 2004. After including the left-censored observations, the slope of the trend declines markedly due to Simpson’s paradox, left-censored persons are imbalanced between the cohorts. When including left-censoring, the dementia hazard increases differently for different ages, we consider omitted covariates to be the reason. For the standard errors from large sample theory, left-censoring requires an adjustment to the conditional information matrix equality.

show abstract

“…An analytic treatment of the multi-state model, however without left-censoring and left-truncation, is found e.g. in Weißbach and Walter ( 2010 ); Kim et al. ( 2012 ).…”

Section: Discussionmentioning

confidence: 99%

Left-censored dementia incidences in estimating cohort effects

et al. 2020

Self Cite

View full text Add to dashboard Cite

show abstract

“…a dispersion parameter equal to zero, is not nested in our model. Hence, for example a likelihood ratio test for overdispersion cannot be derived directly from the asymptotic parameter normality (as in Weißbach and Walter, 2010). However, reasons for overdispersion such as correlation between subunits or unobserved heterogenity between units are often present beyond doubt, at least for observational data.…”

Section: Discussionmentioning

confidence: 99%

Consistency for the negative binomial regression with fixed covariate

Weißbach

Radloff

2019

Metrika

Self Cite

View full text Add to dashboard Cite

We model an overdispersed count as a dependent measurement, by means of the Negative Binomial distribution. We consider quantitative regressors that are fixed by design. The expectation of the dependent variable is assumed to be a known function of a linear combination involving regressors and their coefficients. In the NB1-parametrization of the negative binomial distribution, the variance is a linear function of the expectation, inflated by the dispersion parameter, and not a generalized linear model. We apply a general result of Bradley and Gart (1962) to derive weak consistency and asymptotic normality of the maximum likelihood estimator for all parameters. To this end, we show (i) how to bound the logarithmic density by a function that is linear in the outcome of the dependent variable, independently of the parameter. Furthermore (ii) the positive definiteness of the matrix related to the Fisher information is shown with the Cauchy-Schwarz inequality.

show abstract

“…In order to account for age-inhomogeneous intensities (also found for the data at hand in Weißbach et al ( 2021)), we here define (as in Weißbach et al, 2009;Weißbach and Walter, 2010), with partition 0 = t 0 , . .…”

Section: Age-inhomogeneous Transition From Stroke To Dementiamentioning

confidence: 99%

Left-Truncated Health Insurance Claims Data: Theoretical Review and Empirical Application

Rafael¹,

Dörre²,

Wied³

et al. 2021

Preprint

View full text Add to dashboard Cite

We observe a quarter million people over a period of nine years and are interested in the effect of a stroke on the probability of dementia onset. Randomly lefttruncated has a person been that was already deceased before the period. The ages at a stroke event or dementia onset are conditionally fixed right-censored, when either event may still occur, but after the period. We incorporate death and model the history of the three events by a homogeneous Markov process.The compensator for the respective counting processes is derived and Jacod's formula yields the likelihood contribution, conditional on observation. An Appendix is devoted to the role of filtrations in deriving the likelihood, for the simplification of merged non-dead states. Asymptotic normality of the estimated intensities is derived by martingale theory, relative to the size of the sample including the truncated persons. The data of a German health insurance reveals that after a stroke, the intensity of dementia onset is increased from 0.02 to 0.07, for Germans born in the first half on the 20 th century. The intensity difference has a 95%-confidence interval of [0.048, 0.051] and the difference halves when we extent to an age-inhomogeneous model due to Simpson's paradox.

show abstract

A likelihood ratio test for stationarity of rating transitions

Cited by 19 publications

References 23 publications

Left-censored dementia incidences in estimating cohort effects

Left-censored dementia incidences in estimating cohort effects

Consistency for the negative binomial regression with fixed covariate

Left-Truncated Health Insurance Claims Data: Theoretical Review and Empirical Application

Contact Info

Product

Resources

About