This note shows that the asymptotic variance of Chen’s [Chen, S., 2002. Rank estimation of transformation models. Econometrica 70 (4) 1683–1697] two-step estimator of the link function in a linear transformation model depends on the first-step estimator of the index coefficients.

We study the identification of a mixed proportional hazard model with lagged duration dependence when data provide multiple outcomes per stratum. Within strata variation is exploited to non-parametrically identify lagged duration dependence in more general models than in the literature.

In the aftermath of the financial crisis, this study investigates which underlying determinants cause bank rating transitions. We develop survival analysis models to explain credit transition hazards using macroeconomic factors and the rating history. We find that there exists a significant...

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

We study the relationship between bank competition and stability for 145 countries over the period 1997–2010. We use three measures of bank competition, namely the Boone indicator, the Lerner and the adjusted Lerner indices, and two econometric methods. Our results show that bank competition...

A reduced form hazard rate model of merger timing, estimated using a uniquely constructed 1990–2004 UK panel data set, shows clear correlations between the observed wave-like pattern of merger activity and both exogenous and endogenous drivers with firm characteristics acting as intermediaries.

We extend the fixed effects maximum likelihood estimator to a proportional hazard model with a flexibly parametric baseline hazard. We use the method to estimate a job duration model for young men, and show that failure to account for unobserved fixed effects causes negative schooling and union...

Testing for asymmetric information in insurance markets has become a very important issue in the empirical literature in the last years. We analyze the (private) accident insurance, which has not been analyzed before in the literature, but covers one of the most important risks faced by...

After every major financial crisis, the question about the responsibility of the rating agencies resurfaces. Regarding government bonds, the most frequently voiced concern targeted “unreasonably” bad ratings that might trigger capital flights and increasing risk premia which sanction further...