Arbeitspapier
Semiparametric estimation of a panel data proportional Hazards model with fixed effects
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP21/02
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Duration Analysis; Optimal Timing Strategies
- Thema
-
Duration analysis , panel data , semiparametric estimation
Moral Hazard
Panel
Nichtparametrisches Verfahren
Dauer
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Horowitz, Joel
Lee, Sokbae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2002
- DOI
-
doi:10.1920/wp.cem.2002.2102
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Horowitz, Joel
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2002
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