Kernel estimation of hazard functions when observations have dependent and common covariates

James Lewis Wolter

Journal of Econometrics, 2016, vol. 193, issue 1, 1-16

Abstract: We propose a hazard model where dependence between events is achieved by assuming dependence between covariates. This model allows for correlated variables specific to observations as well as macro variables which all observations share. This setup better fits many economic and financial applications where events are not independent. Nonparametric estimation of the hazard function is then studied. Kernel estimators proposed in Nielsen and Linton (1995) and Linton et al. (2003) are shown to have similar asymptotic properties compared with the i.i.d. case. Mixing conditions ensure the asymptotic results follow. These results depend on adjustments to bandwidth conditions. Simulations are conducted which verify the impact of dependence on estimators. Bandwidth selection accounting for dependence is shown to improve performance. In an empirical application, trade intensity in high-frequency financial data is estimated.

Keywords: Hazard estimation; Correlated events; Dependent covariates; Common covariates; Kernel estimation (search for similar items in EconPapers)
JEL-codes: C13 C14 C51 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:193:y:2016:i:1:p:1-16

DOI: 10.1016/j.jeconom.2016.01.002

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