On Robust Model Selection Within The Cox Model  

Oleh:

Bednarski, Tadeusz ; Mocarska, Edyta

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 2 (2006), page 279-290.
Topik: robust; cox model; model selection; robustness
Fulltext: 279.pdf (192.5KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Model selection methods have shown to be useful in the process of econometric modelling. The paper studies robust Akaike– Schwarz type information criteria of model choice within the Cox model. The criteria are based on a smooth modification of the partial likelihood function. Apart from asymptotic results, a Monte Carlo study is presented, which shows the finite sample behaviour of the procedure under discrepancies from the Cox model. Analysis of a real unemployment data case is also included.

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