Faster estimation of a discrete-time proportional hazards model with gamma frailty
Michael G. Farnworth
University of New Brunswick
Fredericton, New Brunswick, Canada
[email protected]
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Abstract. Fitting a complementary log–log model that accounts for gamma-distributed
unobserved heterogeneity often takes a significant amount of time.
This is in part because numerical derivatives are used to approximate the gradient
vector and Hessian matrix. The main contribution of this article is the use of Mata
and a gf2 evaluator to express the gradient vector and Hessian matrix. Gradient
vector expression allows one to use a few different options and postestimation
commands. Furthermore, expression of the gradient vector and Hessian matrix
increases the speed at which a likelihood function is maximized.
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Michael G. Farnworth
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pgmhazgf2, hazard model, discrete duration analysis, complementary log-log model, gamma distribution, unobserved heterogeneity
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