NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS

Johannes Ruf and James Lewis Wolter

Econometric Theory, 2020, vol. 36, issue 2, 331-346

Abstract: Nonparametric identification of the Mixed Hazard model is shown. The setup allows for covariates that are random, time-varying, satisfy a rich path structure and are censored by events. For each set of model parameters, an observed process is constructed. The process corresponding to the true model parameters is a martingale, the ones corresponding to incorrect model parameters are not. The unique martingale structure yields a family of moment conditions that only the true parameters can satisfy. These moments identify the model and suggest a GMM estimation approach. The moments do not require use of the hazard function.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:36:y:2020:i:2:p:331-346_5

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