Kernel estimation of hazard functions when observations have dependent and common covariates
含依赖及共同协变量的风险率函数核估计
We propose a hazard model where dependence between events is achieved by assuming dependence between covariates. This model allows for correlated variables specific to observations as well as macro variables which all observations share. This setup better fits many economic and financial applications where events are not independent. Nonparametric estimation of the hazard function is then studied. Kernel estimators proposed in Nielsen and Linton (1995) and Linton et al.…