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Semiparametric Estimation of a Duration Model

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  • A. Alonso Anton
  • A. Fernandez Sainz
  • J. Rodriguez‐Poo

Abstract

Within the framework of the proportional hazard model proposed in Cox (1972), Han and Hausman (1990) consider the logarithm of the integrated baseline hazard function as constant in each time period. We, however, proposed an alternative semiparametric estimator of the parameters of the covariate part. The estimator is considered as semiparametric since no prespecified functional form for the error terms (or certain convolution) is needed. This estimator, proposed in Lewbel (2000) in another context, shows at least four advantages. The distribution of the latent variable error is unknown and may be related to the regressors. It takes into account censored observations, it allows for heterogeneity of unknown form and it is quite easy to implement since the estimator does not require numerical searches. Using the Spanish Labour Force Survey, we compare empirically the results of estimating several alternative models, basically on the estimator proposed in Han and Hausman (1990) and our semiparametric estimator.

Suggested Citation

  • A. Alonso Anton & A. Fernandez Sainz & J. Rodriguez‐Poo, 2001. "Semiparametric Estimation of a Duration Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 517-533, December.
    • Handle: RePEc:bla:obuest:v:63:y:2001:i:5:p:517-533
    DOI: 10.1111/1468-0084.00233
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    Cited by:

    1. Magnac, Thierry & Maurin, Eric, 2007. "Identification and information in monotone binary models," Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
    2. Stewart, Mark B., 2005. "A comparison of semiparametric estimators for the ordered response model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 555-573, April.

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