Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate
研究了离散持续时间模型的半参数估计，推导了信息矩阵，针对可分离模型和存在未观测异质性时信息矩阵奇异的情况，提出了估计量，并通过模拟和罢工持续时间数据验证了方法的可行性。
We consider semiparametric estimation of discrete duration models whose hazard rate can be characterized as an unknown transformation of a parametric index of the observable covariates and elapsed spell length. The information matrix is derived. In the case of separable duration dependence the information matrix for the parameters of the index is singular. In that situation, the information matrix for the regression component of the hazard function is derived. The information matrix is also singular when individual–specific/time–invariant unobserved errors are introduced. We develop –consistent estimators for those instances when the information matrix is nonsingular. Less–than––consistent estimators of the duration dependence component of the hazard rate of the separable model are developed. Simulations and an application to strike durations illustrate the viability of the approach.