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Title:A simple GMM estimator for the semi-parametric mixed proportional hazard model PDF Logo
Authors:Bijwaard, Govert E.
Ridder, Geert
Issue Date:2009
Series/Report no.:IZA Discussion Papers 4543
Abstract:Ridder and Woutersen (2003) 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 (1990) and Robins and Tsiatis (1991) to this class of models. The optimal LRE is a two-step estimator. We propose a simple first-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.
Subjects:Mixed proportional hazard
linear rank estimation
counting process
JEL:C41
C14
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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