IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v24y2008i05p1254-1276_08.html
   My bibliography  Save this article

Estimating Panel Data Duration Models With Censored Data

Author

Listed:
  • 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 n 1/2 -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(05), pages 1254-1276, October.
  • Handle: RePEc:cup:etheor:v:24:y:2008:i:05:p:1254-1276_08
    as

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S0266466608080493
    File Function: link to article abstract page
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    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.
    2. Dipak C. Jain & Naufel J. Vilcassim, 1991. "Investigating Household Purchase Timing Decisions: A Conditional Hazard Function Approach," Marketing Science, INFORMS, vol. 10(1), pages 1-23.
    3. Bo E. Honoré, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 241-246.
    4. 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.
    5. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
    6. Robert H. Topel & Michael P. Ward, 1992. "Job Mobility and the Careers of Young Men," The Quarterly Journal of Economics, Oxford University Press, vol. 107(2), pages 439-479.
    7. Jaap H. Abbring & Pierre-André Chiappori & Jean Pinquet, 2003. "Moral Hazard and Dynamic Insurance Data," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 767-820, June.
    8. Jaap H. Abbring & Pierre-André Chiappori & Jean Pinquet, 2003. "Moral Hazard and Dynamic Insurance Data," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 767-820, June.
    9. 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 103-137, January.
    10. Newman, John L & McCulloch, Charles E, 1984. "A Hazard Rate Approach to the Timing of Births," Econometrica, Econometric Society, vol. 52(4), pages 939-961, July.
    11. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    12. Honore, Bo E, 1990. "Simple Estimation of a Duration Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 58(2), pages 453-473, March.
    13. Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 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.
    3. 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.
    4. 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.
    5. repec:eee:jeborg:v:137:y:2017:i:c:p:113-131 is not listed on IDEAS
    6. 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.
    7. Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 1138-1163.
    8. repec:wyi:journl:002122 is not listed on IDEAS
    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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:24:y:2008:i:05:p:1254-1276_08. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.