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) |
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Pages (from-to) | 1579-1589 |
Number of pages | 11 |
Journal | Econometrica |
Volume | 71 |
Issue number | 5 |
DOIs | |
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