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Kernel estimation of hazard functions when observations have dependent and common covariates

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  • Wolter, James Lewis

Abstract

We propose a hazard model where dependence between events is achieved by assuming dependence between covariates. This model allows for correlated variables specific to observations as well as macro variables which all observations share. This setup better fits many economic and financial applications where events are not independent. Nonparametric estimation of the hazard function is then studied. Kernel estimators proposed in Nielsen and Linton (1995) and Linton et al. (2003) are shown to have similar asymptotic properties compared with the i.i.d. case. Mixing conditions ensure the asymptotic results follow. These results depend on adjustments to bandwidth conditions. Simulations are conducted which verify the impact of dependence on estimators. Bandwidth selection accounting for dependence is shown to improve performance. In an empirical application, trade intensity in high-frequency financial data is estimated.

Suggested Citation

  • Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
  • Handle: RePEc:eee:econom:v:193:y:2016:i:1:p:1-16
    DOI: 10.1016/j.jeconom.2016.01.002
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    Cited by:

    1. Janys, Lena, 2017. "A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168077, Verein für Socialpolitik / German Economic Association.

    More about this item

    Keywords

    Hazard estimation; Correlated events; Dependent covariates; Common covariates; Kernel estimation;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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