Semiparametric Dynamic Proportional Hazard Models

Abstract

Proportional hazard (PH) models as introduced in Chap. 4 have a long history in labor economics and serve as a workhorse for the modelling of unemployment spells. Here, we discuss dynamic extensions which can be seen as the direct counterpart to the class of dynamic accelerated failure time (AFT) models to which the ACD model belongs to. As discussed in Chap. 4, a PH model can be estimated in different ways. One possibility is to adopt a fully parametric approach leading to a complete parameterization of the hazard function. Such a model is consistently estimated by maximum likelihood given that the chosen parameterization is correct.