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Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations

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  • Christian N. Brinch

Abstract

This note presents identication results for the mixed proportional hazards model when duration data are interval-censored. Earlier positive results on identication under intervalcensoring require both parametric specication on how covariates enter the hazard functions and assumptions of unbounded support for covariates. New results provided here show how one can dispense with both of these assumptions. The mixed proportional hazards model is non-parametrically identied with interval-censored duration data, provided covariates have support on an open set and the hazard function is a non-constant continuous function of covariates.
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  • Christian N. Brinch, 2011. "Non‐parametric identification of the mixed proportional hazards model with interval‐censored durations," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 343-350, July.
    • Handle: RePEc:ect:emjrnl:v:14:y:2011:i:2:p:343-350
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    4. James Kau & Donald Keenan & Constantine Lyubimov, 2014. "First Mortgages, Second Mortgages, and Their Default," The Journal of Real Estate Finance and Economics, Springer, vol. 48(4), pages 561-588, May.

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    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies

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