ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA

This paper presents a method for estimating a class of panel data duration models, under which an unknown transformation of the duration variable is linearly related to the observed explanatory variables and the unobserved heterogeneity ~or frailty! with completely known error distributions+ This class of duration models includes a panel data proportional hazards model with fixed effects+ The proposed estimator is shown to be n102-consistent and asymptotically normal with dependent right censoring+ The paper provides some discussions on extending the estimator to the cases of longer panels and multiple states+ Some Monte Carlo studies are carried out to illustrate the finite-sample performance of the new estimator+