Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238993 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-16
Publisher: 
MDPI, Basel
Abstract: 
This paper extends Horowitz's smoothed maximum score estimator to discrete-time duration models. The estimator's consistency and asymptotic distribution are derived. Monte Carlo simulations using various data generating processes with varying error distributions and shapes of the hazard rate are conducted to examine the finite sample properties of the estimator. The bias-corrected estimator performs reasonably well for the models considered with moderately-sized samples.
Subjects: 
maximum score estimator
discrete duration models
efficient semiparamteric estimation
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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