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Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity
Author(s) -
Horowitz Joel L.
Publication year - 1999
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/1468-0262.00068
Subject(s) - covariate , estimator , econometrics , hazard , mathematics , statistics , smoothness , parametric statistics , hazard ratio , proportional hazards model , conditional probability distribution , distribution (mathematics) , confidence interval , chemistry , organic chemistry , mathematical analysis
The proportional hazard model with unobserved heterogeneity gives the hazard function of a random variable conditional on covariates and a second random variable representing unobserved heterogeneity. This paper shows how to estimate the baseline hazard function and the distribution of the unobserved heterogeneity nonparametrically. The baseline hazard function and heterogeneity distribution are assumed to satisfy smoothness conditions but are not assumed to belong to known, finite‐dimensional, parametric families. Existing estimators assume that the baseline hazard function or heterogeneity distribution belongs to a known parametric family. Thus, the estimators presented here are more general than existing ones.