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ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA

Published online by Cambridge University Press:  11 June 2008

Sokbae Lee
Sokbae Lee*
Affiliation:
Centre for Microdata Methods and Practice, Institute for Fiscal Studies, and University College London
*
Address correspondence to Sokbae Lee, Department of Economics, University College London, London, WC1E 6BT, United Kingdom; e-mail: [email protected]
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Abstract

This paper presents a method for estimating a class of panel data duration models, under which an unknown transformation of the duration variable is linearly related to the observed explanatory variables and the unobserved heterogeneity (or frailty) with completely known error distributions. This class of duration models includes a panel data proportional hazards model with fixed effects. The proposed estimator is shown to be n1/2-consistent and asymptotically normal with dependent right censoring. The paper provides some discussions on extending the estimator to the cases of longer panels and multiple states. Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 5 , October 2008 , pp. 1254 - 1276
Copyright
Copyright © Cambridge University Press 2008

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