Arbeitspapier
A simple GMM estimator for the semi-parametric mixed proportional hazard model
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IZA Discussion Papers ; No. 4543
- Klassifikation
-
Wirtschaft
Duration Analysis; Optimal Timing Strategies
Semiparametric and Nonparametric Methods: General
- Thema
-
Mixed proportional hazard
linear rank estimation
counting process
Statistische Bestandsanalyse
Nichtparametrisches Verfahren
Momentenmethode
Ranking-Verfahren
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bijwaard, Govert E.
Ridder, Geert
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for the Study of Labor (IZA)
- (wo)
-
Bonn
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bijwaard, Govert E.
- Ridder, Geert
- Institute for the Study of Labor (IZA)
Entstanden
- 2009
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