Asymptotics for Sieve Estimators of Hazard Rates: Estimating Hazard Functionals

James Wolter

No 760, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Abstract This paper derives asymptotics for functionals of a hazard model with an exposure-time effect and time-varying covariates. A semi-nonparametric sieve maximum likelihood estimator of a competing risks model based on the Cox proportional hazard is considered. Consistency of the estimator and its rate of convergence in the Fisher norm are derived. These results are prerequisites for asymptotic normality of plug-in estimators of hazard functionals. This provides an inference procedure for a large class of functionals including the conditional probability of events and various asset pricing formulas for defaultable securities. Asset pricing formulas in this class include the value of mortgages, insurance contracts, bonds, swaps and other options.

Keywords: Conditional probabilities; Sieve estimation; Hazard models (search for similar items in EconPapers)
JEL-codes: C01 C14 C41 (search for similar items in EconPapers)
Date: 2015-10-05
New Economics Papers: this item is included in nep-ecm and nep-ore
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