Semiparametric Estimation of a Panel Data Proportional Hazards Model with Fixed Effects

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, finite dimensional 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 presents a method for estimating the parametric part of the proportional hazards model under dependent right censoring, under which the partial likelihood estimator is inconsistent. The paper presents some Monte Carlo evidence on the small sample performance of the new estimators. Finally, the estimation methods are illustrated by applying them to National Longitudinal Survey of Youth work history data. The estimated, inverted U-shaped baseline hazard function of job ending suggests that the data are consistent with the job matching theory of Jovanovic (1979).