Abstract :
This paper presents a method for estimating a class of panel data duration models,
under which an unknown transformation of the duration variable is linearly
related to the observed explanatory variables and the unobserved heterogeneity
~or frailty! with completely known error distributions+ This class of duration models
includes a panel data proportional hazards model with fixed effects+ The proposed
estimator is shown to be n102-consistent and asymptotically normal with
dependent right censoring+ The paper provides some discussions on extending the
estimator to the cases of longer panels and multiple states+ Some Monte Carlo
studies are carried out to illustrate the finite-sample performance of the new
estimator+
