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Semiparametric estimation of a panel data proportional hazards model with fixed effects

  • Joel Horowitz
  • Sokbae 'Simon' Lee

    ()

    (Institute for Fiscal Studies and University College London)

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, finitedimensional 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 with 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.

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File URL: http://cemmap.ifs.org.uk/wps/cwp0221.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP21/02.

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Length: 17 pp.
Date of creation: Apr 2002
Date of revision:
Handle: RePEc:ifs:cemmap:21/02
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  1. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  2. Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
  3. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  4. Jaap H. Abbring & Pierre-Andre Chiappori, 2004. "Moral Hazard and Dynamic Insurance Data," 2004 Meeting Papers 316, Society for Economic Dynamics.
  5. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  6. Horowitz, Joel & Hardle, Wolfgang, 1994. "Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates," Working Papers 94-22, University of Iowa, Department of Economics.
  7. 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.
  8. 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.
  9. Hahn, Jinyong, 1994. "The Efficiency Bound of the Mixed Proportional Hazard Model," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 607-29, October.
  10. Lancaster, Tony, 2000. "The incidental parameter problem since 1948," Journal of Econometrics, Elsevier, vol. 95(2), pages 391-413, April.
  11. Robert H. Topel & Michael P. Ward, 1988. "Job Mobility and the Careers of Young Men," NBER Working Papers 2649, National Bureau of Economic Research, Inc.
  12. 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.
  13. Tiemen Woutersen, 2000. "Estimators for Panel Duration Data with Endogenous Censoring and Endogenous Regressors," Econometric Society World Congress 2000 Contributed Papers 1581, Econometric Society.
  14. Honore, Bo E, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Wiley Blackwell, vol. 60(1), pages 241-46, January.
  15. 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.
  16. Ridder, Geert & Tunali, Insan, 1999. "Stratified partial likelihood estimation," Journal of Econometrics, Elsevier, vol. 92(2), pages 193-232, October.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
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