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Estimating panel data duration models with censored data

Lee, S.; (2005) Estimating panel data duration models with censored data. (cemmap Working Papers CWP13/). Institute for Fiscal Studies: London, UK. Green open access

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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.

Type: Working / discussion paper
Title: Estimating panel data duration models with censored data
Open access status: An open access version is available from UCL Discovery
Publisher version: http://www.cemmap.ac.uk/publications.php?publicati...
Language: English
Keywords: Dependent censoring, frailty, panel data, recurrent events, survival analysis, transformation models
UCL classification: UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/14699
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