ESTIMATING MULTIPLICATIVE AND ADDITIVE HAZARD FUNCTIONS BY KERNEL METHODS*

Oliver Linton1

London School of Economics and Political Science

Jens Perch Nielsen2

Codan, Copenhagen

Sara van de Geer

University of Leiden

Contents: Abstract 1. Introduction 2. The marker dependent hazard model 3. Estimation 4. Asymptotic Properties 5. Appendix References The Suntory Centre Suntory and Toyota International Centres for Economics and Related Disciplines London School of Economics and Political Science Discussion Paper Houghton Street No.EM/01/411 London, WC2A 2AE February 2001 Tel.: 020-7504 7686 * We thank three referees and the editor for helpful comments. 1 Thanks to the NSF for financial support. 2 Thanks to Bergiafonden for financial support.

Abstract

We propose new procedures for estimating the univariate quantities of interest

in both additive and multiplicative nonparametric marker dependent hazard

models. We work with a full counting process framework that allows for left

truncation and right censoring. Our procedures are based on kernels and on

the idea of marginal integration. We provide a central limit theorem for our

estimator.

Keywords: Additive model; censoring; kernel; proportional hazards; survival analysis. JEL No.: C14 © by the authors. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.

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68