Estimating panel data duration models with censored data
AbstractThis 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.
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Bibliographic InfoPaper provided by University College London in its series Open Access publications from University College London with number http://discovery.ucl.ac.uk/16880/.
Date of creation: Oct 2008
Date of revision:
Publication status: Published in Econometric Theory (2008-10) v.24, p.1254-1276
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