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Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification And Consistency Results

  • Bierens, Herman J.

In this paper I propose estimating distributions on the unit interval semi-nonparametrically using orthonormal Legendre polynomials. This approach will be applied to the interval-censored mixed proportional hazard (ICMPH) model, where the distribution of the unobserved heterogeneity is modeled semi-nonparametrically. Various conditions for the nonparametric identification of the ICMPH model are derived. I will prove general consistency results for M -estimators of (partly) non-euclidean parameters under weak and easy-to-verify conditions and specialize these results to sieve estimators. Special attention is paid to the case where the support of the covariates is finite.

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 24 (2008)
Issue (Month): 03 (June)
Pages: 749-794

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Handle: RePEc:cup:etheor:v:24:y:2008:i:03:p:749-794_08
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