Time Aggregation Effects on the Baseline of Continuous-Time and Discrete-Time Hazard Models

F. ter Hofstede, M. Wedel

Research output: Contribution to journalArticleAcademicpeer-review

7 Citations (Scopus)

Abstract

In this study we reinvestigate the effect of time-aggregation for discrete- and continuous-time hazard models. We reanalyze the results of a previous Monte Carlo study by ter Hofstede and Wedel (1998), in which the effects of time-aggregation on the parameter estimates of hazard models were investigated. Whereas the previous study shows that the estimates of the baseline parameters of continuous- and discrete-time models suffer a lot from time-aggregation, we show that the effects on the baseline hazard itself are much smaller, in particular for the continuous-time model.
Original languageEnglish
Pages (from-to)145-150
JournalEconomics Letters
Volume64
Issue numberMay
DOIs
Publication statusPublished - 1999

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