EFFICIENT SEMIPARAMETRIC ESTIMATION OF DURATION MODELS WITH UNOBSERVED HETEROGENEITY

This paper develops a new semiparametric approach for the estimation of hazard functions in the presence of unobserved heterogeneity+ The hazard function is specified parametrically, whereas the distribution of the unobserved heterogeneity is indirectly estimated using the method of kernels+ The semiparametric efficiency bounds are derived+ The estimator obtains these bounds in large samples+