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

Geert Ridder, Tiemen M Woutersen

Research output: Contribution to journalArticle

21 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)1579-1589
Number of pages11
JournalEconometrica
Volume71
Issue number5
StatePublished - 2003
Externally publishedYes

Fingerprint

Information Matrix
Proportional Hazards Model
Singularity
Hazard
Baseline
Converge
Estimator
Proportional hazards model

Keywords

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

ASJC Scopus subject areas

  • Mathematics (miscellaneous)
  • Statistics and Probability
  • Economics and Econometrics
  • Social Sciences (miscellaneous)

Cite this

The singularity of the information matrix of the mixed proportional hazard model. / Ridder, Geert; Woutersen, Tiemen M.

In: Econometrica, Vol. 71, No. 5, 2003, p. 1579-1589.

Research output: Contribution to journalArticle

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