Characterization and measurement of duration dependence in hazard rate models

Abstract: \nAs is known from the economic literature, the notion of negative/positive duration dependence \ndefined in terms of a decreasing/increasing hazard function can solely be used as a basis for \nrevealing whether negative/positive duration dependence is present or not. However, when concern \nis directed to comparison and measurement of the extent of duration dependence in duration \ndistributions alternative definitions and methods are called for. To this end we propose a stronger as \nwell as a weaker version of the standard definition of duration dependence and demonstrate that \nthese definitions form a useful basis for developing appropriate duration dependence orderings and \nsummary measures of duration dependence. \n \nKeywords: Hazard rate models, duration dependence orderings, summary measures of duration \ndependence, the Weibull distribution, PH and MPH models.