Partial rank estimation of duration models with general forms of censoring |
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Authors: | Shakeeb Khan Elie Tamer |
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Institution: | 1. Department of Economics, University of Rochester, Rochester NY 14627, USA;2. Department of Economics, Northwestern University, 2001 Sheridan Rd, Evanston IL 60208, USA |
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Abstract: | In this paper we propose estimators for the regression coefficients in censored duration models which are distribution free, impose no parametric specification on the baseline hazard function, and can accommodate general forms of censoring. The estimators are shown to have desirable asymptotic properties and Monte Carlo simulations demonstrate good finite sample performance. Among the data features the new estimators can accommodate are covariate-dependent censoring, double censoring, and fixed (individual or group specific) effects. We also examine the behavior of the estimator in an empirical illustration. |
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Keywords: | C13 C31 |
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