A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

Lena Janys

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: We examine a new general class of hazard rate models for duration data, containing a parametric and a nonparametric component. Both can be a mix of a time effect and possibly time-dependent marker or covariate effects. A number of well-known models are special cases. In a counting process framework, a general profile likelihood estimator is developed and the parametric component of the model is shown to be asymptotically normal and efficient.

JEL-codes: C14 C41 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168077

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