A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model

Govert Bijwaard, Ridder Geert and Tiemen Woutersen
Additional contact information
Ridder Geert: Department of Economics, Kaprielian Hall, Los Angeles, CA, USA

Journal of Econometric Methods, 2013, vol. 2, issue 1, 1-23

Abstract: Ridder and Woutersen (Ridder, G., and T. Woutersen. 2003. “The Singularity of the Efficiency Bound of the Mixed Proportional Hazard Model.” Econometrica 71: 1579–1589) have shown that under a weak condition on the baseline hazard, there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity. We extend the linear rank estimator (LRE) of Tsiatis (Tsiatis, A. A. 1990. “Estimating Regression Parameters using Linear Rank Tests for Censored Data.” Annals of Statistics 18: 354–372) and Robins and Tsiatis (Robins, J. M., and A. A. Tsiatis. 1992. “Semiparametric Estimation of an Accelerated Failure Time Model with Time-Dependent Covariates.” Biometrika 79: 311–319) to this class of models. The optimal LRE is a two-step estimator. We propose a simple one-step estimator that is close to optimal if there is no unobserved heterogeneity. The efficiency gain associated with the optimal LRE increases with the degree of unobserved heterogeneity.

Keywords: counting process, linear rank estimation, mixed proportional hazard, JEL Classification: C41; C14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1515/jem-2012-0005 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: A Simple GMM Estimator for the Semiparametric Mixed Proportional Hazard Model (2012)
Working Paper: A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jecome:v:2:y:2013:i:1:p:1-23:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jem/html

DOI: 10.1515/jem-2012-0005

Access Statistics for this article

Journal of Econometric Methods is currently edited by Tong Li and Zhongjun Qu

More articles in Journal of Econometric Methods from De Gruyter
Bibliographic data for series maintained by Peter Golla ().