Estimation and model selection of semiparametric multivariate survival functions under general censorship

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 157
Issue: 1
Pages: 129-142

Authors (4)

Chen, Xiaohong (Yale University) Fan, Yanqin (not in RePEc) Pouzo, Demian (not in RePEc) Ying, Zhiliang (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 4 authors) × 2.0x A-tier

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

Abstract

We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root-n asymptotic normality of a two-step copula estimator to the pseudo-true copula parameter value according to KLIC, and provide a simple consistent estimator of its asymptotic variance, allowing for a first-step nonparametric estimation of the marginal survivals. We establish the asymptotic distribution of the penalized pseudo-likelihood ratio statistic for comparing multiple semiparametric multivariate survival functions subject to copula misspecification and general censorship. An empirical application is provided.

Technical Details

RePEc Handle
repec:eee:econom:v:157:y:2010:i:1:p:129-142
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-25