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The Singularity of the Efficiency Bound of the Mixed Proportional Hazard Model

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Abstract

We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular, even if the model is semi-parametrically identified. This implies that neither the Weibull parameter nor the regression coefficients can be estimated at the root N rate. We show that Hahn's results are confined to a class of models that is closed under the power transformation. The Weibull model is the most prominent model of this class. We also present a new nonparametric identification result. This identification results allows for infinite mean of the mixing distribution and ensures that the efficiency bound is nonsingular. This implies that root N estimation is possible.

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Bibliographic Info

Paper provided by University of Western Ontario, Department of Economics in its series UWO Department of Economics Working Papers with number 20019.

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Date of creation: Nov 2001
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Handle: RePEc:uwo:uwowop:20019

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Postal: Department of Economics, Reference Centre, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2
Phone: 519-661-2111 Ext.85244
Web page: http://economics.uwo.ca/research/research_papers/department_working_papers.html

Related research

Keywords: Duration; Semi-parametric Efficiency Bound; Mixed Proportional Hazard;

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Cited by:
  1. Bijwaard, Govert & Ridder, Geert, 2009. "A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model," IZA Discussion Papers 4543, Institute for the Study of Labor (IZA).
  2. Bijwaard, G.E., 2002. "Instrumental variable estimation for duration data," Econometric Institute Research Papers EI 2002-39, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. Bijwaard, Govert, 2011. "Unobserved Heterogeneity in Multiple-Spell Multiple-States Duration Models," IZA Discussion Papers 5748, Institute for the Study of Labor (IZA).
  4. G.E. Bijwaard, 2002. "Instrumental Variable Estimation for Duration Data: A Reappraisal of the Illinois Reemployment Bonus Experiment," Econometrics 0204001, EconWPA.

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