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
