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.
- Duration dependence
- Mixed proportional hazard model
- Root N convergence
- Semi-parametric efficiency bound
ASJC Scopus subject areas
- Economics and Econometrics