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Regular Variation and the Identification of Generalized Accelerated Failure-Time ModelsJaap H. AbbringTilburg University - Department of Econometrics & Operations Research; Tilburg University - Center for Economic Research (CentER); Tinbergen Institute; Institute for the Study of Labor (IZA) Geert RidderUniversity of Southern California December 12, 2011 CentER Discussion Paper Series No. 2011-135 Abstract: Ridder (1990) provides an identification result for the Generalized Accelerated Failure-Time (GAFT) model. We point out that Ridder's proof of this result is incomplete, and provide an amended proof with an additional necessary and sufficient condition that requires that a function varies regularly at zero and infinity. We also give more readily interpretable sufficient conditions on the tails of the error distribution or the asymptotic behavior of the transformation of the dependent variable. The sufficient conditions are shown to encompass all previous results on the identification of the Mixed Proportional Hazards (MPH) model. Thus, this paper not only clarifies, but also unifies the literature on the non-parametric identification of the GAFT and MPH models.
Number of Pages in PDF File: 30 Keywords: duration analysis, identifiability, Mixed Proportional Hazards model, regular variation JEL Classification: C14, C41 working papers seriesDate posted: December 12, 2011Suggested CitationContact Information
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