Semiparametric estimation of duration model with time-varying regressors and fixed effects

In this paper, we consider estimation of an accelerated failure time model with time-varying regressors and fixed effects for duration data. We propose computationally simple profiled estimators for both fixed and random censoring cases. Under regularity conditions, we establish consistency and asymptotic normality of the estimators. Simulation studies demonstrate that our estimators perform well in finite samples. Finally, we use data from the First Malaysian Family Life Survey to illustrate our proposed estimation method.