Abstract
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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 155-198 |
| Number of pages | 44 |
| Journal | Journal of Econometrics |
| Volume | 119 |
| Issue number | 1 |
| DOIs | |
| State | Published - Mar 2004 |
Funding
We thank John Geweke, George Neumann, Forrest Nelson, Gene Savin, seminar participants at Iowa, Maryland, Northwestern, Princeton, Queen's, Rutgers, Toronto, UCL, UCLA, Western Ontario, Yale, the 2002 North American Summer Meetings of Econometric Society, and the 10th International Conference on Panel Data, the editor, and three anonymous referees for helpful comments and suggestions on an earlier draft of this paper. This research was supported in part by NSF Grant SES-9910925.
Keywords
- Duration analysis
- Panel data
- Semiparametric estimation
ASJC Scopus subject areas
- Economics and Econometrics