A general semiparametric approach to inference with marker-dependent hazard rate models

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

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

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
Pages (from-to)43-67
JournalJournal of Econometrics
Volume221
Issue number1
DOIs
Publication statusPublished - 2021

Keywords

  • Covariate effects
  • Duration analysis
  • Kernel estimation
  • Mortality
  • Semiparametric estimation

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