Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79365
Authors: 
Horowitz, Joel
Lee, Sokbae
Year of Publication: 
2002
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP21/02
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.
Subjects: 
Duration analysis , panel data , semiparametric estimation
JEL: 
C14
C23
C41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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