SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS

Herman J. Bierens

Econometric Theory, 2008, vol. 24, issue 03, pages 749-794

Abstract: 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.

Date: 2008
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