A simple GMM estimator for the semi-parametric mixed proportional hazard model

G.E. Bijwaard, G. Ridder, T. Woutersen

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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 unspeci…ed 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 one-step estimator that is close to optimal if there is no unobserved heterogeneity. The e¢ ciency gain associated with the optimal LRE increases with the degree of unobserved heterogeneity.
Original languageUndefined
PublisherNORFACE Migration
Number of pages49
Publication statusPublished - 2012

Publication series

NameNORFACE discussion papers

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