Arbeitspapier
Estimating panel data duration models with censored data
This paper presents a method for estimating a class of panel data duration models, under which an unknown transformation of the duration variable is linearly related to the observed explanatory variables and the unobserved heterogeneity (or frailty) with completely known error distributions. This class of duration models includes a panel data proportional hazards model with fixed effects. The proposed estimator is shown to be n1/2-consistent and asymptotically normal with dependent right censoring. The paper provides some discussions on extending the estimator to the cases of longer panels, multiple states, and endogenous explanatory variables. Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP13/03
- Klassifikation
-
Wirtschaft
- Thema
-
Dependent censoring , frailty , panel data , recurrent events , survival analysis , transformation models
Panel
Theorie
Statistische Bestandsanalyse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Sokbae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2003
- DOI
-
doi:10.1920/wp.cem.2003.1303
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:20 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
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2003
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