EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY
提出一种新的半参数方法估计存在未观测异质性时的风险函数，其中风险函数参数化，未观测异质性分布通过核方法间接估计，并推导了半参数效率界，该估计量在大样本下达到效率界。
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.The authors thank Yongmiao Chen, James Heckman, Hidehiko Ichimura, Tony Lancaster, Qi Li, Adrian Pagan, Barry Smith, two anonymous referees, and the co-editor for helpful input. We particularly thank Steven Stern, who prompted us toward this line of research. Any errors are those of the authors. Research funding for Rilstone was provided by the Social Sciences and Humanities Research Council of Canada.