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.
|Date of creation:||Dec 1999|
|Contact details of provider:|| Postal: Øster Farimagsgade 5, Building 26, DK-1353 Copenhagen K., Denmark|
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
More information through EDIRC
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.:
- 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.
- 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.
- Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
- Hardle, Wolfgang & Tsybakov, A. B., 1993. "How sensitive are average derivatives?," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 31-48, July.
- Hardle, W. & Tsybakov, A., 1991. "How sensitive are average derivates ?," CORE Discussion Papers 1991044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W. & Tsybakov, A.B., 1992. "How Sensitive are Average Derivatives?," Papers 9208, Tilburg - Center for Economic Research.
- Härdle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
- Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
- 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 103-137, January.
- Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
- Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
- 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.
- 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.
- Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
- Klein, R.W. & Spady, R.H., 1991. "An Efficient Semiparametric Estimator for Binary Response Models," Papers 70, Bell Communications - Economic Research Group.
- Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
- Oliver LINTON, "undated". "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin.
- Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:9925. 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: (Thomas Hoffmann)
If references are entirely missing, you can add them using this form.