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

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Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new identification condition that ensures non-singularity of the information bound. This implies that there can exist estimators that converge at rate root N. As an illustration, we apply our identifying assumption to the Transformation model of Horowitz (1996). In particular, we assume that the baseline hazard is constant near t=0 but make no no parametric assumptions are imposed for other values of t. We then derive an estimator for the scale normalization that converges at rate root N.

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  • Geert Ridder & Tiemen Woutersen, 2002. "The Singularity of the Information Matrix of the Mixed Proportional Hazard Model," UWO Department of Economics Working Papers 20026, University of Western Ontario, Department of Economics.
  • Handle: RePEc:uwo:uwowop:20026
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    1. Ruixuan Liu, 2016. "A Single-index Cox Model Driven by Levy Subordinators," Emory Economics 1602, Department of Economics, Emory University (Atlanta).
    2. Burda, Martin & Harding, Matthew, 2014. "Environmental Justice: Evidence from Superfund cleanup durations," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PA), pages 380-401.
    3. Chen, Xiaohong & Liao, Zhipeng, 2014. "Sieve M inference on irregular parameters," Journal of Econometrics, Elsevier, pages 70-86.
    4. Effraimidis, Georgios, 2016. "Nonparametric Identification of a Time-Varying Frailty Model," COHERE Working Paper 2016:6, COHERE - Centre of Health Economics Research, University of Southern Denmark.
    5. Conley, Timothy G. & Molinari, Francesca, 2007. "Spatial correlation robust inference with errors in location or distance," Journal of Econometrics, Elsevier, pages 76-96.
    6. Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, pages 1-16.
    7. Hausman, Jerry A. & Woutersen, Tiemen, 2014. "Estimating a semi-parametric duration model without specifying heterogeneity," Journal of Econometrics, Elsevier, pages 114-131.
    8. Leon Bettendorf & Albert van der Horst & Ruud A. de Mooij, 2009. "Corporate Tax Policy and Unemployment in Europe: An Applied General Equilibrium Analysis," The World Economy, Wiley Blackwell, pages 1319-1347.
    9. Sasaki, Yuya, 2015. "Heterogeneity and selection in dynamic panel data," Journal of Econometrics, Elsevier, pages 236-249.
    10. 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.
    11. James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
    12. Bo E. Honoré & Aureo de Paula, 2009. ""Interdependent Durations" Third Version," PIER Working Paper Archive 09-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Feb 2008.
    13. Bo E. Honor & Áureo De Paula, 2010. "Interdependent Durations," Review of Economic Studies, Oxford University Press, vol. 77(3), pages 1138-1163.
    14. Arkadiusz Szydlowski, 2015. "Endogenous Censoring in the Mixed Proportional Hazard Model with an Application to Optimal Unemployment Insurance," Discussion Papers in Economics 15/06, Department of Economics, University of Leicester.
    15. Jaap H. Abbring, 2012. "Mixed Hitting‐Time Models," Econometrica, Econometric Society, vol. 80(2), pages 783-819, March.
    16. Jaap H. Abbring, 2010. "Identification of Dynamic Discrete Choice Models," Annual Review of Economics, Annual Reviews, vol. 2(1), pages 367-394, September.
    17. 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.
    18. repec:eee:econom:v:200:y:2017:i:2:p:363-377 is not listed on IDEAS

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