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Alternative sampling methods for estimating multivariate normal probabilities
Bootstrap unit root tests in panels with cross-sectional dependency
Forecasting and turning point predictions in a Bayesian panel VAR model
Asymptotic theory for heterogeneous dynamic pseudo-panels
Subsampling the distribution of diverging statistics with applications to finance
Testing normality: a GMM approach
Contemporaneous aggregation of linear dynamic models in large economies
Simple estimators for nonparametric panel data models with sample attrition
Stability of random coefficient ARCH models and aggregation schemes
Mobility measurement, transition matrices and statistical inference
Nonstationary discrete choice
Alternative estimators and unit root tests for seasonal autoregressive processes
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
Kernel-based nonlinear canonical analysis and time reversibility
Dynamic factor models
The generalized dynamic factor model consistency and rates
Forecasting with nonstationary dynamic factor models
The stochastic conditional duration model: a latent variable model for the analysis of financial durations
Temporal aggregation of volatility models
Stochastic volatility duration models
Maximum likelihood and the bootstrap for nonlinear dynamic models
Semiparametric estimation of a panel data proportional hazards model with fixed effects
带固定效应的面板比例风险模型的半参数估计
This paper considers a panel duration model that has a proportional hazards specification with fixed effects. The paper shows how to estimate the baseline and integrated baseline hazard functions without assuming that they belong to known, finitedimensional families of functions. Existing estimators assume that the baseline hazard function belongs to a known parametric family. Therefore, the estimators presented here are more general than existing ones. This paper also…