Reference : Variable selection in proportional hazards cure model with time-varying covariates, a...
Scientific journals : Article
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/219560
Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures
English
Beretta, Alessandro mailto [Université de Liège > HEC Liège : UER > UER Opérations >]
Heuchenne, Cédric mailto [Université de Liège > HEC Liège : UER > Statistique appliquée à la gestion et à l'économie >]
In press
Journal of Applied Statistics
Routledge
Yes (verified by ORBi)
International
0266-4763
1360-0532
United Kingdom
[en] Bank failures ; Survival Analysis ; Mixture Cure Model ; Time-varying covariates ; Penalized likelihood ; SCAD
[en] From a survival analysis perspective, bank failure data are often characterized by small default rates and heavy censoring. This empirical evidence can be explained by the existence of a subpopulation of banks likely immune from bankruptcy. In this regard, we use a mixture cure model to separate the factors with an influence on the susceptibility to default from the ones affecting the survival time of susceptible banks. In this paper, we extend a semi-parametric proportional hazards cure model to time-varying covariates and we propose a variable selection technique based on its penalized likelihood. By means of a simulation study, we show how this technique performs reasonably well. Finally, we illustrate an application to commercial bank failures in the United States over the period 2006-2016.
http://hdl.handle.net/2268/219560

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