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EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY

  • Peter Bearse (a1), José Canals-Cerdá (a2) and Paul Rilstone (a3)
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.

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Corresponding author
Address correspondence to Paul Rilstone, Department of Economics, York University, Toronto, Ontario, Canada M3J 1P3; e-mail: pril@yorku.ca
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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