EN       DE
 
  Home   Search  
IDSC
 
IZA Newsroom
  Site Map   Contact   Member Login
   

IZA

Logo
A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model
by Govert Bijwaard, Geert Ridder
(November 2009)
published in: Journal of Econometric Methods, 2013, 2, 1-23

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.
Text: See Discussion Paper No. 4543  




 

© IZA  Impressum  Last updated: 2014-02-18  webmaster@iza.org    |   Bookmark this page    |   Print View