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

Arbeitspapier

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, finitedimensional 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP21/02

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Duration Analysis; Optimal Timing Strategies
• Subject: Duration analysis , panel data , semiparametric estimation ; Moral Hazard ; Panel ; Nichtparametrisches Verfahren ; Dauer

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Horowitz, Joel ; Lee, Sokbae
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2002

Further information

• DOI: doi:10.1920/wp.cem.2002.2102
• Handle: http://hdl.handle.net/10419/79365
• Last update: 10.03.2025, 11:42 AM CET