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The Singularity of the Information Matrix of the Mixed Proportional Hazard Model

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Author Info
Geert Ridder
Tiemen M. Woutersen

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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-super- - 1/2. Copyright The Econometric Society 2003.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 71 (2003)
Issue (Month): 5 (09)
Pages: 1579-1589
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Handle: RePEc:ecm:emetrp:v:71:y:2003:i:5:p:1579-1589

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  1. Bo E. Honore & Aureo de Paula, 2007. "Interdependent Durations, Second Version," PIER Working Paper Archive 08-044, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Nov 2008. [Downloadable!]
  2. Bo Honore & Aureo de Paula, 2008. "Interdependent Durations," PIER Working Paper Archive 08-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
  3. Jerry Hausman & Tiemen M. Woutersen, 2005. "Estimating a semi-parametric duration model without specifying heterogeneity," CeMMAP working papers CWP11/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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This page was last updated on 2009-11-12.

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