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Type: Journal Articles Authors: Joel Horowitz and Sokbae 'Simon' Lee
Published in: Journal of Econometrics
Volume, issue, pages: Vol. 119, No. 1, pp. 155-198
JEL classification: C14; C23; C41 Keywords: Duration analysis; Panel data; Semiparametric estimation
Previous version: cemmap Working Papers [Details]
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finite-dimensional families of functions. Existing estimators assume that the baseline hazard function belongs to a known parametric family. Therefore, the estimators presented here are more general than existing ones. This paper also presents a method for estimating the parametric part of the proportional hazards model with dependent right censoring, under which the partial likelihood estimator is inconsistent. The paper presents some Monte Carlo evidence on the small sample performance of the new estimators. Search |
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