On robust model selection within the Cox model

被引：1
|
作者：
Bednarski, T
Mocarska, E
机构：
[1] Univ Wroclaw, Inst Econ Sci, PL-50145 Wroclaw, Poland
[2] Zielona Gora Univ, Math Inst, Fac Math, Zielona Gora, Poland
来源：
ECONOMETRICS JOURNAL | 2006年 / 9卷 / 02期
关键词：
mCox model; model selection; robustness;
D O I：
10.1111/j.1368-423X.2006.00185.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：279 / 290
页数：12
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