Semiparametric estimation of a panel data proportional hazards model with fixed effects

Joel L. Horowitz, Sokbae Lee*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

36 Scopus citations


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 languageEnglish (US)
Pages (from-to)155-198
Number of pages44
JournalJournal of Econometrics
Issue number1
StatePublished - Mar 2004


  • Duration analysis
  • Panel data
  • Semiparametric estimation

ASJC Scopus subject areas

  • Economics and Econometrics


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