Estimation of Hazard Models with Dependence Across Observations: Correlation, Frailty and Contagion


This paper proposes nonparametric and semi-nonparametric estimation of hazard models with various types of dependence between observations. The methods are designed to examine the impact that di¤erent macroeconomic and …nancial conditions have on hazard rates. First, dependence between time-varying covariate processes across observations is examined. Among… (More)


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