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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

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.

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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