SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS

Author:

Bierens Herman J.

Abstract

In this paper I propose estimating distributions on the unit interval semi-nonparametrically using orthonormal Legendre polynomials. This approach will be applied to the interval-censored mixed proportional hazard (ICMPH) model, where the distribution of the unobserved heterogeneity is modeled semi-nonparametrically. Various conditions for the nonparametric identification of the ICMPH model are derived. I will prove general consistency results for M-estimators of (partly) non-euclidean parameters under weak and easy-to-verify conditions and specialize these results to sieve estimators. Special attention is paid to the case where the support of the covariates is finite.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

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