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This paper extends Horowitz's smoothed maximum score estimator to discrete-time duration models. The estimator's consistency and asymptotic distribution are derived. Monte Carlo simulations using various data generating processes with varying error distributions and shapes of the hazard rate are...
Persistent link: https://www.econbiz.de/10012872163
This paper extends Horowitz's smoothed maximum score estimator to discrete-time duration models. The estimator's consistency and asymptotic distribution are derived. Monte Carlo simulations using various data generating processes with varying error distributions and shapes of the hazard rate are...
Persistent link: https://www.econbiz.de/10012022194
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