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- W2913776345 abstract "Nonparametric identification of the Mixed Hazard model is shown. The setup allows for covariates that are random, time-varying, satisfy a rich path structure and are censored by events. For each set of model parameters, an observed process is constructed. The process corresponding to the true model parameters is a martingale, the ones corresponding to incorrect model parameters are not. The unique martingale structure yields a family of moment conditions that only the true parameters can satisfy. These moments identify the model and suggest a GMM estimation approach. The moments do not require use of the hazard function." @default.
- W2913776345 created "2019-02-21" @default.
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- W2913776345 date "2019-02-20" @default.
- W2913776345 modified "2023-10-18" @default.
- W2913776345 title "NONPARAMETRIC IDENTIFICATION OF THE MIXED HAZARD MODEL USING MARTINGALE-BASED MOMENTS" @default.
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- W2913776345 doi "https://doi.org/10.1017/s0266466619000033" @default.
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