Cox-McFadden Partial and Marginal Likelihoods for the Proportional Hazard Model with Random Effects

Syracuse University Center for Policy Research Working Paper No. 68

55 Pages Posted: 19 Apr 2011

See all articles by Jan Ondrich

Jan Ondrich

Syracuse University - Center for Policy Research

Date Written: August 1, 2005

Abstract

In survival analysis, Cox’s name is associated with the partial likelihood technique that allows consistent estimation of proportional hazard scale parameters without specifying a duration dependence baseline. In discrete choice analysis, McFadden’s name is associated with the generalized extreme-value (GEV) class of logistic choice models that relax the independence of irrelevant alternatives assumption. This paper shows that the mixed class of proportional hazard specifications allowing consistent estimation of scale and mixing parameters using partial likelihood is isomorphic to the GEV class. Independent censoring is allowed and I discuss approximations to the partial likelihood in the presence of ties. Finally, the partial likelihood score vector can be used to construct log-rank tests that do not require the independence of observations involved.

Keywords: proportional hazard, random effects, partial likelihood, GEV class

JEL Classification: C14, C41

Suggested Citation

Ondrich, Jan, Cox-McFadden Partial and Marginal Likelihoods for the Proportional Hazard Model with Random Effects (August 1, 2005). Syracuse University Center for Policy Research Working Paper No. 68, Available at SSRN: https://ssrn.com/abstract=1813998 or http://dx.doi.org/10.2139/ssrn.1813998

Jan Ondrich (Contact Author)

Syracuse University - Center for Policy Research ( email )

Maxwell School of Citizenship 426 Eggers Hall
Syracuse, NY 13244
United States

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