Arbeitspapier
Estimating a semi-parametric duration model without specifying heterogeneity
This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice. The integrated baseline hazard and all parameters are estimated at regular rate,square root of N , where N is the number of individuals. A hazard model is a natural framework for time-varying regressors if a flow or a transition probability depends on a regressor that changes with time since a hazard model avoids the curse of dimensionality that would arise from interacting the regressors at each point in time with one another.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 525
- Classification
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Wirtschaft
- Subject
-
Mixed Proportional Hazard Model
Time-varying regressors
Heterogeneity
Mikroökonometrie
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Hausman, Jerry A.
Woutersen, Tiemen M.
- Event
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Veröffentlichung
- (who)
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The Johns Hopkins University, Department of Economics
- (where)
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Baltimore, MD
- (when)
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2005
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hausman, Jerry A.
- Woutersen, Tiemen M.
- The Johns Hopkins University, Department of Economics
Time of origin
- 2005
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