A Monte Carlo study of time-aggregation in continuous-time and discrete-time parametric hazard models.

F. ter Hofstede, M. Wedel

Research output: Contribution to journalArticleAcademicpeer-review

10 Citations (Scopus)

Abstract

This study investigates the effects of time aggregation in discrete and continuous-time hazard models. A Monte Carlo study is conducted in which data are generated according to various continuous and discrete-time processes, and aggregated into daily, weekly and monthly intervals. These data are analyzed with flexible continuous-time and discrete-time parametric hazard models. The estimates of the structural parameter and baseline hazard seem robust to the form of the distribution of the data generation process when the time-aggregation window is small. Both estimates of continuous-time models and of discrete-time models suffer from time aggregation, but the estimates of the discrete-time model are more sensitive to aggregation.
Original languageEnglish
Pages (from-to)149-56
JournalEconomics Letters
Volume58
DOIs
Publication statusPublished - 1998

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