UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

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

Horowitz, J.; Lee, S.; (2002) Semiparametric estimation of a panel data proportional hazards model with fixed effects. (cemmap Working Papers CWP21/). Institute for Fiscal Studies: London, UK. Green open access

[thumbnail of 14701.pdf]
Preview
PDF
14701.pdf

Download (767kB)

Abstract

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.

Type: Working / discussion paper
Title: Semiparametric estimation of a panel data proportional hazards model with fixed effects
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: JEL classification: C14, C23, C41. Duration analysis, panel data, semiparametric estimation
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/14701
Downloads since deposit
516Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item