Efficient semiparametric estimation of duration models with unobserved heterogeneity

被引：4
|
作者：
Bearse, Peter
Canals-Cerda, Jose
Rilstone, Paul [1 ]
机构：
[1] York Univ, Dept Econ, Toronto, ON M3J 1P3, Canada
[2] Univ N Carolina, Greensboro, NC 27412 USA
[3] Univ Colorado, Boulder, CO 80309 USA
来源：
ECONOMETRIC THEORY | 2007年 / 23卷 / 02期
关键词：
PROPORTIONAL HAZARD MODEL; UNEMPLOYMENT-INSURANCE; IMPACT; DEPENDENCE;
D O I：
10.1017/S0266466607070120
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper develops a new semiparametric approach for the estimation of hazard functions in the presence of unobserved heterogeneity. The hazard function is specified parametrically, whereas the distribution of the unobserved heterogeneity is indirectly estimated using the method of kernels. The semiparametric efficiency bounds are derived. The estimator obtains these bounds in large samples.
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页码：281 / 308
页数：28
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