Estimating a semi-parametric duration model without specifying heterogeneity

Jerry A. Hausman and Tiemen Woutersen

Journal of Econometrics, 2014, vol. 178, issue P1, 114-131

Abstract: This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice. The integrated baseline hazard and all parameters are estimated at the regular rate, N, where N is the number of individuals. A hazard model is a natural framework for time-varying regressors. In particular, if a flow or a transition probability depends on a regressor that changes with time, a hazard model avoids the curse of dimensionality that would arise from interacting the regressors at each point in time with one another. This paper also presents a new test to detect unobserved heterogeneity.

Keywords: Mixed proportional hazard model; Time-varying regressors; Heterogeneity (search for similar items in EconPapers)
JEL-codes: C14 C41 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Estimating a semi-parametric duration model without specifying heterogeneity (2005)
Working Paper: Estimating a Semi-Parametric Duration Model without Specifying Heterogeneity (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p1:p:114-131

DOI: 10.1016/j.jeconom.2013.08.011

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