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The Singularity of the Information Matrix of the Mixed Proportional Hazard Model
Author(s) -
Ridder Geert,
Woutersen Tiemen M.
Publication year - 2003
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/1468-0262.00460
Subject(s) - singularity , hazard , mathematics , matrix (chemical analysis) , statistics , econometrics , mathematical analysis , materials science , chemistry , organic chemistry , composite material
This paper presents new identification conditions for the mixed proportional hazard model. In particular, the baseline hazard is assumed to be bounded away from 0 and ∞ near t = 0. These conditions ensure that the information matrix is nonsingular. The paper also presents an estimator for the mixed proportional hazard model that converges at rate N −1/2 .