Semiparametric proportional hazards estimation of competing risks models with time-varying covariates

Sueyoshi, Glenn T.

doi:10.1016/0304-4076(92)90028-p

Cited by 88 publications

(52 citation statements)

References 15 publications

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“…β 1+β (27) We now show that the shadow riskless rate for keepers exceeds the shadow riskless rate for defaulters in the range [w (1-2) and (5-6) yield:…”

Section: Resultsmentioning

confidence: 69%

“…The model specification that we use is taken from Meyer (1995), and is very similar to the specification of Pennington-Cross and Ho (2006) and Yu (2006). It is a competing risks, proportional hazard, duration model that allows for time-varying covariates and unobserved heterogeneity, and is based on the studies of Han and Hausman (1990), Sueyoshi (1992), and McCall (1996). As in these papers, our data are observed in discrete intervals.…”

Section: A Competing Risks Model Of Home Ownership Terminationmentioning

confidence: 99%

“…We follow Sueyoshi (1992) and assume that any time-varying covariates are constant within the intervals I. This implies that the data available to the econometrician for the ith homeowner include (k i , δ i , X i (t)) where k i is equal to the integer part of T * i , X i (t) denotes the path of the explanatory variables, and δ r i = 1 when individual i is observed to fail due to the rth risk (default or sale), and δ r i = 0 otherwise.…”

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confidence: 99%

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Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures

2007

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Abstract:This paper provides the first rigorous assessment of the homeownership experiences of subprime borrowers. We consider homeowners who used subprime mortgages to purchase their homes, and estimate how often these borrowers end up in foreclosure. In order to evaluate these issues, we analyze homeownership experiences in Massachusetts over the 1989-2007 period using a competing risks, proportional hazard framework. We present two main findings. First, homeownerships that begin with a subprime purchase mortgage end up in foreclosure almost 20 percent of the time, or more than 6 times as often as experiences that begin with prime purchase mortgages. Second, house price depreciation plays an important role in generating foreclosures. In fact, we attribute much of the dramatic rise in Massachusetts foreclosures during 2006 and 2007 to the decline in house prices that began in the summer of 2005.

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“…β 1+β (27) We now show that the shadow riskless rate for keepers exceeds the shadow riskless rate for defaulters in the range [w (1-2) and (5-6) yield:…”

Section: Resultsmentioning

confidence: 69%

Section: A Competing Risks Model Of Home Ownership Terminationmentioning

confidence: 99%

mentioning

confidence: 99%

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Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures

2007

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“…14 The estimated hazards have multiple peaks, di¤erent for the two destinations, but very similar for the two educations. According to the Hausman tests, equality of the baseline hazards can not be rejected for both destinations.…”

Section: Up-or-outmentioning

confidence: 99%

“…This method is more general than the semi-parametric model, developed by Han and Hausman (1990); their approximation of a bivariate type I extreme value distribution by a bivariate normal distribution was shown to be of poor quality by Sueyoshi (1992).…”

Section: Up-or-outmentioning

confidence: 99%

Dual track or academic route for auditors: does it matter?

2006

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In the Netherlands auditors can be trained in a part-time educational track in which students combine working and studying or in a full-time educational track. The former training is relatively …rm-speci…c whereas the latter training is relatively general. Applying human capital theory, we expect higher wage growth for full-time educated auditors than for dualeducated auditors. Furthermore, full-time educated auditors may have better outside options than part-time educated auditors. This may make it easier for them to switch employers than for the part-time educated auditors. The predictions on tenure and wages of di¤erently educated auditors are supported by the estimation results in this paper. The part-time, dual track appears an important route for students from lower socioeconomic background.JEL code: C35, C41, J24, J31, J63 key words: human capital formation, mobility, wages, auditors 1 Two tracks of accountancy trainingLittle is known yet about the e¤ects of di¤erential tracks in education on productivity of graduates. At best, there is some research on dual tracks in lower vocational training (Van Imho¤ and Ritzen, 1989;Van der Velden and Lodder, 1995;Plug and Groot, 1998;Sollogoub and Ulrich, 1999).To help …ll this gap, we analyze the di¤erences in labor market position for Dutch auditors who graduated from either the academic program or the dual program.Below, we describe the two programs and lay out the plan of this paper.In the Netherlands, there are two routes to the title " Register Accountant" , equivalent to the titles" CPA" or " CA" used in Anglo-Saxon countries 1 . The entire academic study (the full-time track) nominally takes 6 years, 4 years as a university student and 2 years as a post-doctoral 2 student, combining work (four days a week) and studying (some 20 hours week, including going to school one day a week). The NivRA 3 (or dual or part-time track) nominally takes 7.5 years, working 4 days a week, going to school one day and spending about 12 hours on homework. Academic students …rst enjoy university life (studying 30-40 hours a week) and then spend nominally 2 years in combined education and work, totalling some 52 hours a week. NIvRA students live this combined 52 hours a week life for 7.5 years. NIvRA students work in an accountancy …rm all through their education, from assistant accountant to junior manager to audit manager as they advance through their training program. Academic accountants only combine work and education in the two year post-doctoral segment. They have to …nance the …rst four years in university themselves (or participate in the general government grants and loans program), while the employer will …nance the post-doctoral part. NIvRA students enjoy employer support all along. Their employers generally pay for tuition, text books and sometimes (part of) the salary for days in school. While working of course they get a salary, initially low relative to other secondary school graduates, but 1 See Vaatstra (1996) for a detailed description (in Dutch) of the...

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Cox Regression With Alternative Concepts of Waiting Time: The New Orleans Yellow Fever Epidemic of 1853

Tunalı

Pritchett

1997

J. Appl. Econ.

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Semiparametric proportional hazards estimation of competing risks models with time-varying covariates

Cited by 88 publications

References 15 publications

Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures

Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures

Dual track or academic route for auditors: does it matter?

Cox Regression With Alternative Concepts of Waiting Time: The New Orleans Yellow Fever Epidemic of 1853

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