Time-aggregation effects on the baseline of continuous-time and discrete-time hazard models

In this study we reinvestigate the effect of time-aggregation for discrete- and continuous-time hazard models. We reanalyze the results of a previous Monte Carlo study by ter Hofstede and Wedel (1998), in which the effects of time-aggregation on the parameter estimates of hazard models were investig ated. Whereas the previous study shows that the estimates of the baseline p arameters of continuous- and discrete-time models suffer a lot from time-ag gregation, we show that the effects on the baseline hazard itself are much smaller, in particular for the continuous-time model. (C) 1999 Elsevier Sci ence S.A. All rights reserved.