{"title":"The variances of non-parametric estimates of the cross-sectional distribution of durations","authors":"Maoshan Tian, Huw Dixon","doi":"10.1080/07474938.2022.2114623","DOIUrl":null,"url":null,"abstract":"Abstract This paper focuses on the link between non-parametric survival analysis and three distributions. The delta method is applied to derive the variances of the non-parametric estimators of three distributions: the distribution of durations (DD), the cross-sectional distribution of ages (CSA) and the cross-sectional distribution of (completed) durations (CSD). The non-parametric estimator of the the cross-sectional distribution of durations (CSD) has been defined and derived by Dixon (2012) and used in the generalized Taylor price model (GTE) by Dixon and Le Bihan (2012). The Monte Carlo method is applied to evaluate the variances of the estimators of DD and CSD and how their performance varies with sample size and the censoring of data. We apply those estimators to two data sets: the UK CPI micro-price data and waiting-time data from UK hospitals. Both the estimates of the distributions and their variances are calculated. Depending on the empirical results, the estimated variances indicate that the DD and CSD estimators are all significant.","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"41 1","pages":"1243 - 1264"},"PeriodicalIF":0.8000,"publicationDate":"2022-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Reviews","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/07474938.2022.2114623","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 2
Abstract
Abstract This paper focuses on the link between non-parametric survival analysis and three distributions. The delta method is applied to derive the variances of the non-parametric estimators of three distributions: the distribution of durations (DD), the cross-sectional distribution of ages (CSA) and the cross-sectional distribution of (completed) durations (CSD). The non-parametric estimator of the the cross-sectional distribution of durations (CSD) has been defined and derived by Dixon (2012) and used in the generalized Taylor price model (GTE) by Dixon and Le Bihan (2012). The Monte Carlo method is applied to evaluate the variances of the estimators of DD and CSD and how their performance varies with sample size and the censoring of data. We apply those estimators to two data sets: the UK CPI micro-price data and waiting-time data from UK hospitals. Both the estimates of the distributions and their variances are calculated. Depending on the empirical results, the estimated variances indicate that the DD and CSD estimators are all significant.
期刊介绍：
Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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