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Efficient Semiparametric Estimation Of Duration Models With Unobserved Heterogeneity

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  • Bearse, Peter
  • Canals-Cerdá, José
  • Rilstone, Paul

Abstract

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.The authors thank Yongmiao Chen, James Heckman, Hidehiko Ichimura, Tony Lancaster, Qi Li, Adrian Pagan, Barry Smith, two anonymous referees, and the co-editor for helpful input. We particularly thank Steven Stern, who prompted us toward this line of research. Any errors are those of the authors. Research funding for Rilstone was provided by the Social Sciences and Humanities Research Council of Canada.

Suggested Citation

  • Bearse, Peter & Canals-Cerdá, José & Rilstone, Paul, 2007. "Efficient Semiparametric Estimation Of Duration Models With Unobserved Heterogeneity," Econometric Theory, Cambridge University Press, vol. 23(2), pages 281-308, April.
    • Handle: RePEc:cup:etheor:v:23:y:2007:i:02:p:281-308_07
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    Cited by:

    1. Abdelkrim Araar, 2012. "Expected Poverty Changes with Economic Growth and Redistribution," Cahiers de recherche 1222, CIRPEE.
    2. Piu Banerjee & Jose J. Canals-Cerda, 2012. "Credit risk analysis of credit card portfolios under economic stress conditions," Working Papers 12-18, Federal Reserve Bank of Philadelphia.
    3. Bijwaard Govert E. & Ridder Geert & Woutersen Tiemen, 2013. "A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model," Journal of Econometric Methods, De Gruyter, vol. 2(1), pages 1-23, July.
    4. Janys, Lena, 2017. "A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168077, Verein für Socialpolitik / German Economic Association.
    5. van den Berg, Gerard. J. & Janys, Lena & Mammen, Enno & Nielsen, Jens Perch, 2021. "A general semiparametric approach to inference with marker-dependent hazard rate models," Journal of Econometrics, Elsevier, vol. 221(1), pages 43-67.
    6. Sadat Reza & Paul Rilstone, 2019. "Smoothed Maximum Score Estimation of Discrete Duration Models," JRFM, MDPI, vol. 12(2), pages 1-16, April.
    7. Anders Holm & Mads Meier Jæger & Morten Pedersen, 2008. "Unobserved Heterogeneity in the Binary Logit Model with Cross-Sectional Data and Short Panels: A Finite Mixture Approach," CAM Working Papers 2009-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    8. Christian N. Brinch, 2008. "Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations," Discussion Papers 539, Statistics Norway, Research Department.

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