Semiparametric Estimation of Single-Index Transition Intensities, Econometric Society World Congress 2000 Contributed Papers 0596, Econometric Society Gorgens,T

This research develops semiparametric kernel-based estimators of state-speci¯c conditional transition intensities, hs(yjx), for duration models with right-censoring and/or multiple destinations (competing risks). Both discrete and continuous duration data are considered. The maintained assumptions is that hs(yjx) depends on x only through an index x0¯s. In contrast to exist-ing semiparametric estimators, proportional intensities is not assumed. The new estimators are asymptotically normally distributed. The estimator of ¯s is root-n consistent. The estimator of hs(yjx) achieves the one-dimensional rate of convergence. Thus the single-index assumption eliminates the \curse of dimensionality". The estimators perform well in Monte Carlo experiments