Abstract
This research develops a semiparametric kernel-based estimator of hazard functions which does not assume proportional hazards. The maintained assumption is that the hazard functions depend on regressors only through a linear index. The estimator permits both discrete and continuous regressors, both discrete and continuous failure times, and can be applied to right-censored data and to multiple-risks data, in which case the hazard functions are risk-specific. The estimator is root- n consistent and asymptotically normally distributed. The estimator performs well in Monte Carlo experiments.
Original language | English |
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Pages (from-to) | 1-22 |
Number of pages | 22 |
Journal | Econometrics Journal |
Volume | 9 |
Issue number | 1 |
DOIs | |
Publication status | Published - Mar 2006 |