Estimating a Semi-Parametric Duration Model without Specifying Heterogeneity

Tiemen Woutersen and Jerry Hausman

Economics Working Paper Archive from The Johns Hopkins University,Department of Economics

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 regular rate,square root of N , where N is the number of individuals. A hazard model is a natural framework for time-varying regressors if a flow or a transition probability depends on a regressor that changes with time since a hazard model avoids the curse of dimensionality that would arise from interacting the regressors at each point in time with one another.

Date: 2005-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.econ2.jhu.edu/REPEC/papers/wp525woutersen.pdf (application/pdf)

Related works:
Journal Article: Estimating a semi-parametric duration model without specifying heterogeneity (2014)
Working Paper: Estimating a semi-parametric duration model without specifying heterogeneity (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jhu:papers:525

Access Statistics for this paper

More papers in Economics Working Paper Archive from The Johns Hopkins University,Department of Economics 3400 North Charles Street Baltimore, MD 21218. Contact information at EDIRC.
Bibliographic data for series maintained by Humphrey Muturi ().