Semiparametric estimation of a panel data proportional hazards model with fixed effects

Joel L. Horowitz () and Sokbae (Simon) Lee
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Joel L. Horowitz: Institute for Fiscal Studies and Northwestern University

No CWP21/02, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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.

JEL-codes: C14 C23 C41 (search for similar items in EconPapers)
Pages: 17 pp.
Date: 2002-04-03
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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http://cemmap.ifs.org.uk/wps/cwp0221.pdf (application/pdf)

Related works:
Journal Article: Semiparametric estimation of a panel data proportional hazards model with fixed effects (2004)
Working Paper: Semiparametric estimation of a panel data proportional hazards model with fixed effects (2002)
Working Paper: Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:21/02

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