Nonparametric Analysis of a Duration Model with Stochastic Unobserved Heterogeneity

Irene Botosaru

Research output: Contribution to journalArticle (Academic Journal)peer-review

Abstract

This paper develops nonparametric identification and estimation results for a single-spell hazard model, where the unobserved heterogeneity is specified as a LÈvy subordinator. The identification approach solves a nonlinear Volterra integral equation of the first kind with anunknown kernel function defined on a non-compact support. Both the kernel of the integral operator, which models the distribution of the unobserved heterogeneity, and the functions that enter it nonlinearly are identified given regularity conditions and minimal variation in the observed covariates. The paper proposes a shape-constrained nonparametric two-step sieve minimum distance estimator. The second step estimates the kernel of the integral operator, exploiting a monotonicity property. Rates of convergence are derived and Monte Carlo experiments show the finite sample performance of the estimator.
Original languageEnglish
Pages (from-to)112-139
Number of pages28
JournalJournal of Econometrics
Volume217
Issue number1
Early online date14 Jan 2020
DOIs
Publication statusPublished - 14 Jan 2020

Structured keywords

  • ECON Econometrics
  • ECON CEPS Data

Keywords

  • duration model
  • Lévy process
  • nonlinear Volterra integral equation of the first kind
  • shape-restricted two-step nonparametric estimation

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