Nonparametric analysis of a duration model with stochastic unobserved heterogeneity

被引:1
|
作者
Botosaru, Irene [1 ]
机构
[1] Univ Bristol, Dept Econ, Priory Rd Complex,12 Priory Rd, Bristol BS8 1TU, Avon, England
关键词
Duration model; Levy process; Nonlinear Volterra integral equation of the first kind; Shape restricted estimation; FRAILTY MODELS; CONVERGENCE; IDENTIFIABILITY; REGRESSION; SURVIVAL;
D O I
10.1016/j.jeconom.2019.06.006
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper develops nonparametric identification and estimation results for a single-spell hazard model, where the unobserved heterogeneity is specified as a Levy subordinator. The identification approach solves a nonlinear Volterra integral equation of the first kind with an unknown kernel function. Both the kernel of the integral operator, which models the distribution of the unobserved heterogeneity, and the functions that enter it are identified given regularity conditions and minimal variation in the observed covariates. The paper proposes a shape-constrained nonparametric two-step sieve minimum distance estimator. Rates of convergence are derived and Monte Carlo experiments show the finite sample performance of the estimator. Crown Copyright (C) 2019 Published by Elsevier B.V. All rights reserved.
引用
收藏
页码:112 / 139
页数:28
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