Accelerated Failure Time Models with Log-concave Errors

Ruixuan Liu and Zhengfei Yu

Tsukuba Economics Working Papers from Faculty of Humanities and Social Sciences, University of Tsukuba

Abstract: We study accelerated failure time (AFT) models in which the survivor function of the additive error term is log-concave. The log-concavity assumption covers large families of commonly-used distributions and also represents the aging or wear-out phenomenon of the baseline duration. For right-censored failure time data, we construct semi-parametric maximum likelihood estimates of the finite dimensional parameter and establish the large sample properties. The shape restriction is incorporated via a nonparametric maximum likelihood estimator (NPMLE) of the hazard function. Our approach guarantees the uniqueness of a global solution for the estimating equations and delivers semiparametric efficient estimates. Simulation studies and empirical applications demonstrate the usefulness of our method.

Date: 2019-11
New Economics Papers: this item is included in nep-ecm and nep-ore
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