Research Seminar

November 1 at 4.40 pm, room 3118 (Shabolovka st., 26) ICEF and LFE held Research Seminar in Finance
Speaker: Jaap Abbring (Tilburg University)

On Thursday, November 1 at 4.40 pmInternational College of Economics and Financen and Intertaional Laboratory of Financial Economics held a Research Seminar in Finance 
Speaker: Jaap Abbring (Tilburg University)
Theme: «Regular variation and the identification of generalized accelerated failure-time models» with Geert Ridder
Venue: Shabolovka st. 26, building 3, room 3118

Abstract:Ridder (1990) provides an identification result for the generalized accelerated failure-time (GAFT) model. We point out that Ridder’s proof of this result is incomplete, and provide an amended proof with an additional necessary and sufficient condition that requires that a function varies regularly at 0 and ∞. We also give more readily interpretable sufficient conditions on the tails of the error distribution or the asymptotic behavior of the transformation of the dependent variable. The sufficient conditions are shown to encompass all previous results on the identification of the mixed proportional hazards (MPH) model. Thus, this paper not only clarifies, but also unifies the literature on the non-parametric identification of the GAFT and MPH models.

   

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