Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finite dimensional families of functions. Existing estimators assume that the baseline hazard function belongs to a known parametric family. Therefore, the estimators presented here are more general than existing ones. This paper also presents a method for estimating the parametric part of the proportional hazards model under dependent right censoring, under which the partial likelihood estimator is inconsistent. The paper presents some Monte Carlo evidence on the small sample performance of the new estimators. Finally, the estimation methods are illustrated by applying them to National Longitudinal Survey of Youth work history data. The estimated, inverted U-shaped baseline hazard function of job ending suggests that the data are consistent with the job matching theory of Jovanovic (1979).
|Date of creation:||Mar 2002|
|Date of revision:|
|Contact details of provider:|| |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Horowitz, Joel & Hardle, Wolfgang, 1994.
"Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates,"
94-22, University of Iowa, Department of Economics.
- J. L. HOROWITZ & Wolfgang HÄRDLE, 1994. "Direct Semiparametric Estimation of Single - Index Models with Discrete Covariates," SFB 373 Discussion Papers 1994,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
- Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
- 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.
- Bowlus, Audra J & Kiefer, Nicholas M & Neumann, George R, 2001.
"Equilibrium Search Models and the Transition from School to Work,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(2), pages 317-43, May.
- Bowlus, A.J. & Kiefer, N.M. & Neumann, G.R., 1997. "Equilibrium Search Models and The Transition from School to Work," Working Papers 97-05, University of Iowa, Department of Economics.
- Audra J. Bowlus & Nicholas M. Kiefer & George R. Neumann, 1997. "Equilibrium Search Models and The Transition from School to Work," Labor and Demography 9705004, EconWPA.
- 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.
- Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
- Horowitz, J. & Gorgens, T., 1995. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Working Papers 95-15, University of Iowa, Department of Economics.
- Jean Pinquet & Jaap Abbring & Pierre-André Chiappori, 2003.
"Moral Hazard and Dynamic Insurance Data,"
- Ridder, Geert & Tunali, Insan, 1999.
"Stratified partial likelihood estimation,"
Journal of Econometrics,
Elsevier, vol. 92(2), pages 193-232, October.
- Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
- Efromovich S., 2001. "Density Estimation Under Random Censorship and Order Restrictions: From Asymptotic to Small Samples," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 667-684, June.
- Jovanovic, Boyan, 1979.
"Job Matching and the Theory of Turnover,"
Journal of Political Economy,
University of Chicago Press, vol. 87(5), pages 972-90, October.
- 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.
- 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 103-37, January.
- Van den Berg, Gerard J., 2000.
"Duration Models: Specification, Identification, and Multiple Durations,"
9446, University Library of Munich, Germany.
- 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.
- Tiemen Woutersen, 2000. "Estimators for Panel Duration Data with Endogenous Censoring and Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1581, Econometric Society.
- Farber, Henry S, 1994. "The Analysis of Interfirm Worker Mobility," Journal of Labor Economics, University of Chicago Press, vol. 12(4), pages 554-93, October.
- Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
- Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
- Jinyong Hahn, 1994. "The Efficiency Bound of the Mixed Proportional Hazard Model," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 607-629.
- Jaap H. Abbring & Pierre-Andre Chiappori, 2004.
"Moral Hazard and Dynamic Insurance Data,"
2004 Meeting Papers
316, Society for Economic Dynamics.
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
When requesting a correction, please mention this item's handle: RePEc:cpd:pd2002:a5-3. 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: (Sune Karlsson)
If references are entirely missing, you can add them using this form.