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Estimating Panel Data Duration Models With Censored Data

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  • Lee, Sokbae

Abstract

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 and multiple states. Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator.

Suggested Citation

  • Lee, Sokbae, 2008. "Estimating Panel Data Duration Models With Censored Data," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1254-1276, October.
    • Handle: RePEc:cup:etheor:v:24:y:2008:i:05:p:1254-1276_08
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    1. Gorgens, Tue & Horowitz, Joel L., 1999. "Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable," Journal of Econometrics, Elsevier, vol. 90(2), pages 155-191, June.
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    7. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460, Elsevier.
    8. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-473, March.
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    Cited by:

    1. Rachel Griffith & Sokbae Lee & John Van Reenen, 2011. "Is distance dying at last? Falling home bias in fixed‐effects models of patent citations," Quantitative Economics, Econometric Society, vol. 2(2), pages 211-249, July.
    2. Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(3), pages 1138-1163.
    3. Chen, Songnian, 2010. "Root-N-consistent estimation of fixed-effect panel data transformation models with censoring," Journal of Econometrics, Elsevier, vol. 159(1), pages 222-234, November.
    4. Griffith, Rachel & Lee, Sokbae & Straathof, Bas, 2017. "Recombinant innovation and the boundaries of the firm," International Journal of Industrial Organization, Elsevier, vol. 50(C), pages 34-56.
    5. Botosaru, Irene & Muris, Chris & Pendakur, Krishna, 2023. "Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares," Journal of Econometrics, Elsevier, vol. 232(2), pages 576-597.
    6. Khan, Shakeeb & Tamer, Elie, 2007. "Partial rank estimation of duration models with general forms of censoring," Journal of Econometrics, Elsevier, vol. 136(1), pages 251-280, January.
    7. repec:wyi:journl:002122 is not listed on IDEAS
    8. Irene Botosaru & Chris Muris & Krishna Pendakur, 2020. "Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares," CeMMAP working papers CWP26/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008.
    10. De Silva, Dakshina G. & Kosmopoulou, Georgia & Lamarche, Carlos, 2017. "Subcontracting and the survival of plants in the road construction industry: A panel quantile regression analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 137(C), pages 113-131.
    11. Farbmacher, Helmut & Tauchmann, Harald, 2021. "Linear fixed-effects estimation with non-repeated outcomes," FAU Discussion Papers in Economics 03/2021, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2021.
    12. Irene Botosaru & Chris Muris, 2022. "Identification of time-varying counterfactual parameters in nonlinear panel models," Papers 2212.09193, arXiv.org, revised Nov 2023.
    13. Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.

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