Additive two-way hazards model with varying coefficients

Abstract The paper considers smooth modelling of hazard functions, where dynamics is modelled in both, duration time and calendar time. The model is specified with time dynamic covariate effects to replace restrictive assumptions of proportional hazards. Additivity of the time effects is assumed which allows for simple estimation in a backfitting style. Penalized splines are employed, which provide the welcome benefit of linking smoothing with mixed models. The model is applied to unemployment data taken from the German socio economic panel. The hazard function, here the chance for finding reemployment, varies with duration as well as calendar time, which is worked out in the paper.