Semiparametric Estimation of Single-Index Transition Intensities
AbstractThis research develops semiparametric kernel-based estimators of state-specific conditional transition intensitiesm, hs (y|x), for duration models with right-censoring and/or multiple destinations (competing risks). Both discrete and continous duration data are considered. The maintained assumptions are that hs(y|x) depends on x only through an index x'Bs. In contrast to existing semiparametric estimators, proportional intensities is not assumed. The new estimators are asymptotically normally distributed. The estimator of Bs is root-n consistent. The estimator of hs (y|x) achieves the one-dimensional rate of convergence. Thus the single-index assumption eliminates the "curse of dimensionality". The estimators perform well in Monte Carlo experiments.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 99-25.
Length: 41 pages
Date of creation: Dec 1999
Date of revision:
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More information through EDIRC
semiparametric estimation; kernel regression; duration analysis; competing risks; censoring;
Other versions of this item:
- Tue Gorgens, 2000. "Semiparametric Estimation of Single-Index Transition Intensities," Econometric Society World Congress 2000 Contributed Papers 0596, Econometric Society.
- Gorgens, T., 1999. "Semiparametric Estimation of Single-Index Transition Intensities," Papers 99-25, Carleton - School of Public Administration.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-04 (All new papers)
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