Artikel

Smoothed maximum score estimation of discrete duration models

This paper extends Horowitz's smoothed maximum score estimator to discrete-time duration models. The estimator's consistency and asymptotic distribution are derived. Monte Carlo simulations using various data generating processes with varying error distributions and shapes of the hazard rate are conducted to examine the finite sample properties of the estimator. The bias-corrected estimator performs reasonably well for the models considered with moderately-sized samples.

Language: Englisch

Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 2 ; Pages: 1-16 ; Basel: MDPI

Classification: Wirtschaft

Subject: maximum score estimator
discrete duration models
efficient semiparamteric estimation

Event: Geistige Schöpfung

(who): Reza, Sadat
Rilstone, Paul

Event: Veröffentlichung

(who): MDPI

(where): Basel

(when): 2019

DOI: doi:10.3390/jrfm12020064

Handle: http://hdl.handle.net/10419/238993

Last update: 10.03.2025, 11:45 AM CET

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Artikel

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Reza, Sadat
Rilstone, Paul
MDPI

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2019

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Smoothed maximum score estimation of discrete duration models

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Other Objects (12)

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