The singularity of the information matrix of the mixed proportional hazard model

Geert Ridder; Tiemen M. Woutersen

doi:10.1111/1468-0262.00460

The singularity of the information matrix of the mixed proportional hazard model

Geert Ridder, Tiemen M. Woutersen

Research output: Contribution to journal › Article › peer-review

26 Scopus citations

Abstract

This paper presents new identification conditions for the mixed proportional hazard model. In particular, the baseline hazard is assumed to be bounded away from 0 and ∞ near t = 0. These conditions ensure that the information matrix is nonsingular. The paper also presents an estimator for the mixed proportional hazard model that converges at rate N^-1/2.

Original language	English (US)
Pages (from-to)	1579-1589
Number of pages	11
Journal	Econometrica
Volume	71
Issue number	5
DOIs	https://doi.org/10.1111/1468-0262.00460
State	Published - 2003
Externally published	Yes

Keywords

Duration
Duration dependence
Heterogeneity
Mixed proportional hazard model
Root N convergence
Semi-parametric efficiency bound

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/1468-0262.00460

Cite this

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KW - Heterogeneity

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KW - Root N convergence

KW - Semi-parametric efficiency bound

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The singularity of the information matrix of the mixed proportional hazard model

Abstract

Keywords

ASJC Scopus subject areas

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