Download This PaperThe Singularity of the Efficiency Bound of the Mixed Proportional Hazard Model
14 Pages Posted: 4 Dec 2001
Date Written: November 6, 2001
Abstract
We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function, but unspecified distribution of multiplicative unobserved heterogeneity. We show that the efficient score has a singular distribution if and only if the baseline hazard is Weibull type. A sufficient condition for nonsingularity of the distribution is that the baseline hazard is bounded from zero and infinity in zero.
Keywords: Duration, Semi-parametric Efficiency Bound, Mixed Proportional Hazard
Suggested Citation: Suggested Citation
Ridder, Geert and Woutersen, Tiemen, The Singularity of the Efficiency Bound of the Mixed Proportional Hazard Model (November 6, 2001). Available at SSRN: https://ssrn.com/abstract=290119 or http://dx.doi.org/10.2139/ssrn.290119
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