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Estimating a semi-parametric duration model without specifying heterogeneity

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  • Hausman, Jerry A.
  • Woutersen, Tiemen
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    Abstract

    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 the regular rate, N, where N is the number of individuals. A hazard model is a natural framework for time-varying regressors. In particular, if a flow or a transition probability depends on a regressor that changes with time, a hazard model avoids the curse of dimensionality that would arise from interacting the regressors at each point in time with one another. This paper also presents a new test to detect unobserved heterogeneity.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 178 (2014)
    Issue (Month): P1 ()
    Pages: 114-131

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    Handle: RePEc:eee:econom:v:178:y:2014:i:p1:p:114-131

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    Web page: http://www.elsevier.com/locate/jeconom

    Related research

    Keywords: Mixed proportional hazard model; Time-varying regressors; Heterogeneity;

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    References

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    2. Horowitz, Joel L. & Lee, Sokbae, 2004. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," Journal of Econometrics, Elsevier, vol. 119(1), pages 155-198, March.
    3. Bo E. Honoré & Luojia Hu, 2007. "Estimation of a Transformation Model with Truncation, Interval Observation and Time–Varying Covariates," CAM Working Papers 2009-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics, revised Nov 2008.
    4. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-37, January.
    5. Anders Frederiksen & Bo E. Honoré & Luojia Hu, 2006. "Discrete Time Duration Models with Group-level Heterogeneity," Discussion Papers 05-008, Stanford Institute for Economic Policy Research.
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    7. Lancaster, Tony, 1979. "Econometric Methods for the Duration of Unemployment," Econometrica, Econometric Society, vol. 47(4), pages 939-56, July.
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    12. Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
    13. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-73, March.
    14. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
    15. Horowitz, J. & Gorgens, T., 1995. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Working Papers 95-15, University of Iowa, Department of Economics.
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    18. Tiemen Woutersen, 2002. "Robustness against Incidental Parameters," UWO Department of Economics Working Papers 20028, University of Western Ontario, Department of Economics.
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    24. repec:wop:humbsf:2001-59 is not listed on IDEAS
    25. Geert Ridder & Tiemen M. Woutersen, 2003. "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model," Econometrica, Econometric Society, vol. 71(5), pages 1579-1589, 09.
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