IDEAS home Printed from https://ideas.repec.org/a/taf/rjerxx/v34y2012i1p1-26.html
   My bibliography  Save this article

Competing Risks Models using Mortgage Duration Data under the ProportionalHazards Assumption

Author

Listed:
  • Mark An
  • Zhikun Qi

Abstract

This paper demonstrates two important results related to the estimation of a competing risks model under the proportional hazards assumption with grouped duration data, a model that has become the canonical model for the termination of mortgages with prepayment and default as two competing risks. First, the model with non-parametric baseline hazards is unidentifiable with only grouped mortgage duration data. Therefore, assumption on the functional form of the baseline hazard is necessary for any meaningful inference. Second, under some parametric assumptions such as piece-wise constant baseline hazards, the sample likelihood function has an explicit analytical form. Therefore, there is no need for the approximation formula widely adopted in the previous literature. Both Monte Carlo simulations and actual mortgage data are used to demonstrate the adverse impact of the approximation.

Suggested Citation

  • Mark An & Zhikun Qi, 2012. "Competing Risks Models using Mortgage Duration Data under the ProportionalHazards Assumption," Journal of Real Estate Research, Taylor & Francis Journals, vol. 34(1), pages 1-26, January.
  • Handle: RePEc:taf:rjerxx:v:34:y:2012:i:1:p:1-26
    DOI: 10.1080/10835547.2012.12091323
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10835547.2012.12091323
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/10835547.2012.12091323?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bo Liu & Tien Foo Sing, 2018. "“Cure” Effects and Mortgage Default: A Split Population Survival Time Model," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 217-251, February.
    2. Cichulska Aneta & Wisniewski Radosław, 2017. "Issue Of Risk In Literature," Real Estate Management and Valuation, Sciendo, vol. 25(3), pages 74-86, September.

    More about this item

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:rjerxx:v:34:y:2012:i:1:p:1-26. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rjer20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.