15,756 research outputs found
Semiparametric estimation of a panel data proportional hazards model with fixed effects
This paper considers a panel duration model that has a proportional hazards specification
with fixed effects. The paper shows how to estimate the baseline and integrated
baseline hazard functions without assuming that they belong to known, finitedimensional
families of functions. Existing estimators assume that the baseline hazard
function belongs to a known parametric family. Therefore, the estimators presented here
are more general than existing ones. This paper also presents a method for estimating
the parametric part of the proportional hazards model with dependent right censoring,
under which the partial likelihood estimator is inconsistent. The paper presents some
Monte Carlo evidence on the small sample performance of the new estimators
Most Likely Transformations
We propose and study properties of maximum likelihood estimators in the class
of conditional transformation models. Based on a suitable explicit
parameterisation of the unconditional or conditional transformation function,
we establish a cascade of increasingly complex transformation models that can
be estimated, compared and analysed in the maximum likelihood framework. Models
for the unconditional or conditional distribution function of any univariate
response variable can be set-up and estimated in the same theoretical and
computational framework simply by choosing an appropriate transformation
function and parameterisation thereof. The ability to evaluate the distribution
function directly allows us to estimate models based on the exact likelihood,
especially in the presence of random censoring or truncation. For discrete and
continuous responses, we establish the asymptotic normality of the proposed
estimators. A reference software implementation of maximum likelihood-based
estimation for conditional transformation models allowing the same flexibility
as the theory developed here was employed to illustrate the wide range of
possible applications.Comment: Accepted for publication by the Scandinavian Journal of Statistics
2017-06-1
Some Notes on Sample Selection Models
Sample selection problems are pervasive when working with micro economic models and datasets of individuals, households or firms. During the last three decades, there have been very significant developments in this area of econometrics. Different type of models have been proposed and used in empirical applications. And new estimation and inference methods, both parametric and semiparametric, have been developed. These notes provide a brief introduction to this large literature.Sample selection. Censored regression model. Truncated regression model. Treatment effects. Semiparametric methods.
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