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Kernel estimation of hazard functions when observations have dependent and common covariates

Abstract:

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, Annals of Statistics) and Linton, Nielse...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2015-10-05
Paper number:
761
Keywords:
Pubs id:
1143635
Local pid:
pubs:1143635
Deposit date:
2020-12-15

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