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.
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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 |
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