The Efficiency Bound of the Mixed Proportional Hazard Model

Jinyong Hahn

The Review of Economic Studies, 1994, vol. 61, issue 4, 607-629

Abstract: The semiparametric efficiency bound of the mixed proportional hazard model is derived. The density of the model factors in such a way that there exists a complete sufficient statistic for the individual heterogeneity. The efficient score is shown to be the difference between the score in the parametric direction and its conditional expectation given the sufficient statistic. Applying this result to the single-spell Weibull mixed proportional hazard model, it is shown that its information matrix is singular and there cannot exist any ^/w-consistent estimator sequence. The information of the multi-spell Weibull mixed proportional hazard model is shown to be nonsingular in general.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://hdl.handle.net/10.2307/2297911 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
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:oup:restud:v:61:y:1994:i:4:p:607-629.

Access Statistics for this article

The Review of Economic Studies is currently edited by Thomas Chaney, Xavier d’Haultfoeuille, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Katrine Loken, Elias Papaioannou, Vincent Sterk and Noam Yuchtman

More articles in The Review of Economic Studies from Review of Economic Studies Ltd
Bibliographic data for series maintained by Oxford University Press ().