Linton, Oliver, Perch Nielsen, Jens and van de Geer, Sara (2001) Estimating multiplicative and additive hazard functions by kernel methods. Econometrics; EM/2001/411, EM/01/411. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science,, London, UK.
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Abstract
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows for left truncation and right censoring. Our procedures are based on kernels and on the idea of marginal integration. We provide a central limit theorem for our estimator.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2001 the authors |
| Uncontrolled Keywords: | Additive model; censoring; kernel; proportional hazards; survival analysis |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | EM/01/411 |
| URL: | http://eprints.lse.ac.uk/2168/ |
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