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A simple root-N-consistent semiparametric estimator for discrete duration models

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  • Reza, Sadat
  • Rilstone, Paul

Abstract

Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an outer link function. The index function is specified up to a finite dimensional parameter, β0. β0 is estimated using a least squares objective function. The link function is left unspecified and estimated by the method of kernels. We demonstrate the consistency and asymptotic normality of the estimator of β0. Simulations show the efficacy of the estimator.

Suggested Citation

  • Reza, Sadat & Rilstone, Paul, 2014. "A simple root-N-consistent semiparametric estimator for discrete duration models," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 150-154.
    • Handle: RePEc:eee:stapro:v:95:y:2014:i:c:p:150-154
    DOI: 10.1016/j.spl.2014.08.017
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    References listed on IDEAS

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    1. Jenkins, Stephen P, 1995. "Easy Estimation Methods for Discrete-Time Duration Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(1), pages 129-138, February.
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    Cited by:

    1. Sadat Reza & Paul Rilstone, 2019. "Smoothed Maximum Score Estimation of Discrete Duration Models," JRFM, MDPI, vol. 12(2), pages 1-16, April.

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