Estimating a semi-parametric duration model without specifying heterogeneity

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 178
Issue: P1
Pages: 114-131

Authors (2)

Hausman, Jerry A. (not in RePEc) Woutersen, Tiemen (University of Arizona)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 the regular rate, N, where N is the number of individuals. A hazard model is a natural framework for time-varying regressors. In particular, if a flow or a transition probability depends on a regressor that changes with time, a hazard model avoids the curse of dimensionality that would arise from interacting the regressors at each point in time with one another. This paper also presents a new test to detect unobserved heterogeneity.

Technical Details

RePEc Handle
repec:eee:econom:v:178:y:2014:i:p1:p:114-131
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29