Semiparametric Estimation of Single-Index Transition Intensities
This research develops semiparametric kernel-based estimators of state-specific conditional transition intensitiesm, hs (y|x), for duration models with right-censoring and/or multiple destinations (competing risks). Both discrete and continous duration data are considered. The maintained assumptions are that hs(y|x) depends on x only through an index x'Bs. In contrast to existing semiparametric estimators, proportional intensities is not assumed. The new estimators are asymptotically normally distributed. The estimator of Bs is root-n consistent. The estimator of hs (y|x) achieves the one-dimensional rate of convergence. Thus the single-index assumption eliminates the "curse of dimensionality". The estimators perform well in Monte Carlo experiments.
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|Date of creation:||1999|
|Contact details of provider:|| Postal: Carleton University, School of Public Administration, Ottawa, Canada K1S 5B6.|
Web page: http://www.carleton.ca/sppa/
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