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Boundary and Bias Correction in Kernel Hazard Estimation

Author

Listed:
  • Perch Nielsen, Jens

    (Codan)

  • Tanggaard, Carsten

    (Department of Finance, Aarhus School of Business)

Abstract

A new class of local linear azard estimators based on weig ted least square kernel estimation is considered. The class includes the kernel Hazard estimator of Ramlau-Hansen (1983), which as tHe same boundary correction property as the local linear regression estimator (see Fan and Gijbels, 1996). It is shown that all the local linear estimators in the class have the same pointwise asymp-totic properties. We derive the multiplicative bias correction of the local linear estimator. In addition we propose a new bias correction technique based on bootstrap estimation of additive bias. This latter method as nice theoretical properties. Based on an extensive simulation study where we compare the per-formance of competing estimators we also recommend the use of the additive bias correction in applied work.

Suggested Citation

  • Perch Nielsen, Jens & Tanggaard, Carsten, 2000. "Boundary and Bias Correction in Kernel Hazard Estimation," Finance Working Papers 00-7, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    • Handle: RePEc:hhb:aarfin:2000_007
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    References listed on IDEAS

    as
    1. Linton, Oliver & Nielsen, Jens Perch, 1994. "A multiplicative bias reduction method for nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 19(3), pages 181-187, February.
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    Cited by:

    1. Jens Perch Nielsen & Carsten Tanggaard & M.C. Jones, 2007. "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," CREATES Research Papers 2007-13, Department of Economics and Business Economics, Aarhus University.
    2. Nielsen, Jens Perch & Tanggaard, Carsten & Jones, M. C., 2003. "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," Finance Working Papers 03-9, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.

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