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The Singularity of the Information Matrix of the Mixed Proportional Hazard Model |
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| Authors: | Geert Ridder Tiemen M. Woutersen |
| 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−1/2. |
| Keywords: | Duration semi‐parametric efficiency bound mixed proportional hazard model duration dependence heterogeneity root N convergence |