EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY

摘要

This paper develops a new semiparametric approach for the estimation of hazard functions in the presence of unobserved heterogeneity.The hazard function is specified parametrically,whereas the distribution of the unobserved heterogeneity is indirectly estimated using the method of kernels.The semiparametric efficiency bounds are derived.The estimator obtains these bounds in large samples.