The Singularity of the Information Matrix of the Mixed Proportional Hazard Model
Geert Ridder () and
Econometrica, 2003, vol. 71, issue 5, 1579-1589
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-super- - 1/2. Copyright The Econometric Society 2003.
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