NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS

DOI10.1017/S0266466619000033zbMath1435.62137OpenAlexW2913776345WikidataQ128389212 ScholiaQ128389212MaRDI QIDQ5221312

James Lewis Wolter, Johannes Ruf

Publication date: 25 March 2020

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466619000033

zbMATH Keywords

martingalecensored datanonparametric estimation

Mathematics Subject Classification ID

Density estimation (62G07) Censored data models (62N01) Martingales with continuous parameter (60G44)

Cites Work

• A one-dimensional diffusion hits points fast
• Estimating a semi-parametric duration model without specifying heterogeneity
• NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARDS MODEL WITH TIME-VARYING COVARIATES
• Econometric Methods for the Duration of Unemployment
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