A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

Gerard J. van den Berg*, Enno Mammen, Lena Janys, Jens Perch Nielsen

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)

Abstract

We examine a new general class of hazard rate models for duration
data, containing a parametric and a nonparametric component. Both
can be a mix of a time effect and possibly time-dependent covariate effects. A number of well-known models are special cases. In a counting process framework, a general profile likelihood estimator is developed and the parametric component of the model is shown to be asymptotically normal and efficient. Finite sample properties are investigated in simulations. The estimator is applied to investigate the long-run relationship between birth weight and later-life mortality.
Original languageEnglish
Number of pages25
JournalJournal of Econometrics
Early online date5 Mar 2020
DOIs
Publication statusE-pub ahead of print - 5 Mar 2020

Structured keywords

  • ECON Econometrics
  • ECON CEPS

Keywords

  • Covariate effects; duration analysis; kernel estimation; mortality; semiparametric estimation

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