Package: lillardhaz 1.0.0

lillardhaz: Simultaneous-Equations Hazard/Probit Models with a Gaussian-Copula Correlation

Fits two-equation simultaneous models in the style of Lillard (1993) <doi:10.1016/0304-4076(93)90106-F>: a pair of processes, each either a binary probit outcome or a continuous-time hazard duration, linked through a single correlation parameter between their underlying error terms and estimated jointly by maximum likelihood via a Gaussian copula. Equation 1 may be a probit, a log-normal accelerated-failure-time hazard, or a piecewise (linear-log-hazard) Gompertz hazard with an arbitrary, user-specified number of segments; equation 2 is always a hazard, log-normal or piecewise Gompertz. Models can also be fit under independence (correlation fixed at zero), which reduces exactly to two separate univariate fits. See the package vignette/manual for the full likelihood derivation and a simulation-based verification.

Authors:Nobutaka Fukuda [aut, cre]