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

Geert Ridder, Tiemen M. Woutersen

Research output: Contribution to journalArticlepeer-review

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

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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