eprintid: 16880
rev_number: 28
eprint_status: archive
userid: 600
dir: disk0/00/01/68/80
datestamp: 2009-09-04 08:19:52
lastmod: 2015-07-23 09:37:24
status_changed: 2009-09-04 08:19:52
type: article
metadata_visibility: show
item_issues_count: 0
creators_name: Lee, S.
creators_id: LSOKB93
title: Estimating panel data duration models with censored data
ispublished: pub
subjects: 12000
divisions: F24
abstract: This paper presents a method for estimating a class of panel data duration models, under which an unknown transformation of the duration variable is linearly related to the observed explanatory variables and the unobserved heterogeneity (or frailty) with completely known error distributions. This class of duration models includes a panel data proportional hazards model with fixed effects. The proposed estimator is shown to be n1/2-consistent and asymptotically normal with dependent right censoring. The paper provides some discussions on extending the estimator to the cases of longer panels and multiple states. Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator.
date: 2008-10
official_url: http://dx.doi.org/10.1017/S0266466608080493
vfaculties: VSHS
oa_status: green
language: eng
primo: open
primo_central: open_green
doi: 10.1017/S0266466608080493
lyricists_name: Lee, S
lyricists_id: LSOKB93
full_text_status: public
publication: Econometric Theory
volume: 24
number: 5
pagerange: 1254-1276
refereed: TRUE
issn: 0266-4666
citation:        Lee, S.;      (2008)    Estimating panel data duration models with censored data.                   Econometric Theory , 24  (5)   pp. 1254-1276.    10.1017/S0266466608080493 <https://doi.org/10.1017/S0266466608080493>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/16880/1/16880.pdf