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Non-parametric Identification of the Mixed Hazards Model with Interval-Censored Durations

Econometric duration data are typically interval-censored, that is, not directly observed, but observed to fall within a known interval. Known non-parametric identification results for duration models with unobserved heterogeneity rely crucially on exact observation of durations at a continuous scale. Here, it is established that the mixed hazards model is non-parametrically identified through covariates that vary over time within durations as well as between observations when durations are interval-censored. The results hold for the mixed proportional hazards model as a special case.

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Paper provided by Statistics Norway, Research Department in its series Discussion Papers with number 539.

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Date of creation: Apr 2008
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Handle: RePEc:ssb:dispap:539
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