A simple root-N-consistent semiparametric estimator for discrete duration models

Sadat Reza and Paul Rilstone

Statistics & Probability Letters, 2014, vol. 95, issue C, 150-154

Abstract: Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an outer link function. The index function is specified up to a finite dimensional parameter, β0. β0 is estimated using a least squares objective function. The link function is left unspecified and estimated by the method of kernels. We demonstrate the consistency and asymptotic normality of the estimator of β0. Simulations show the efficacy of the estimator.

Keywords: Discrete duration model; Semiparametric; Kernel estimator; Least squares estimator; Single index model; Empirical process (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.08.017

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