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

Published online by Cambridge University Press:  26 February 2008

Herman J. Bierens
Herman J. Bierens*
Affiliation:
Pennsylvania State University
*
Address correspondence to Herman J. Bierens, Department of Economics, Pennsylvania State University, 608 Kern Graduate Building, University Park, PA 16802, USA; e-mail: hbierens@psu.edu.
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Abstract

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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.

Information

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 3 , June 2008, pp. 749 - 794
Copyright
Copyright © Cambridge University Press 2008

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