A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

39 Pages Posted: 2 Aug 2014

See all articles by Gerard J. van den Berg

Gerard J. van den Berg

VU University Amsterdam - Department of Economics; Centre for Economic Policy Research (CEPR); IZA Institute of Labor Economics; Tinbergen Institute

Lena Janys

University of Mannheim

Enno Mammen

University of Mannheim - Department of Economics

Jens Perch Nielsen

City University London - Cass Business School

Abstract

We examine a new general class of hazard rate models for survival data, containing a parametric and a nonparametric component. Both can be a mix of a time effect and (possibly time-dependent) marker or covariate effects. A number of well-known models are special cases. In a counting process framework, a general profile likelihood estimator is developed and the parametric component of the model is shown to be asymptotically normal and efficient. The analysis improves on earlier results for special cases. Finite sample properties are investigated in simulations. The estimator is shown to work well under realistic conditions. The estimator is applied to investigate the long-run relationship between birth weight and later-life mortality using data from the Uppsala Birth Cohort Study of individuals born in 1915-1929. The results suggest a relationship that is difficult to capture with simple parametric specifications. Moreover, its shape at higher birth weights differs across gender.

Keywords: covariate effects, survival analysis, local linear estimation, asymptotic distribution, birth weight, mortality, social class

JEL Classification: C41, C14, I12, J13

Suggested Citation

van den Berg, Gerard J. and Janys, Lena and Mammen, Enno and Nielsen, Jens Perch, A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models. IZA Discussion Paper No. 8339. Available at SSRN: https://ssrn.com/abstract=2475307

Gerard J. Van den Berg (Contact Author)

VU University Amsterdam - Department of Economics ( email )

De Boelelaan 1105
1081 HV Amsterdam
Netherlands
+31 20 444 6132 (Phone)
+32 20 444 6020 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

Tinbergen Institute

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Lena Janys

University of Mannheim

Universitaetsbibliothek Mannheim
Zeitschriftenabteilung
Mannheim, 68131
Germany

Enno Mammen

University of Mannheim - Department of Economics ( email )

Mannheim, 68131
Germany

Jens Perch Nielsen

City University London - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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