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Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate

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  • Sadat Reza
  • Paul Rilstone

Abstract

We consider semiparametric estimation of discrete duration models whose hazard rate can be characterized as an unknown transformation of a parametric index of the observable covariates and elapsed spell length. The information matrix is derived. In the case of separable duration dependence the information matrix for the parameters of the index is singular. In that situation, the information matrix for the regression component of the hazard function is derived. The information matrix is also singular when individual--specific/time--invariant unobserved errors are introduced. We develop --consistent estimators for those instances when the information matrix is nonsingular. Less--than-- --consistent estimators of the duration dependence component of the hazard rate of the separable model are developed. Simulations and an application to strike durations illustrate the viability of the approach.

Suggested Citation

  • Sadat Reza & Paul Rilstone, 2016. "Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 693-726, May.
  • Handle: RePEc:taf:emetrv:v:35:y:2016:i:5:p:693-726
    DOI: 10.1080/07474938.2014.966637
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    1. Sadat Reza & Paul Rilstone, 2019. "Smoothed Maximum Score Estimation of Discrete Duration Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(2), pages 1-16, April.

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