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REGULAR VARIATION AND THE IDENTIFICATION OF GENERALIZED ACCELERATED FAILURE-TIME MODELS

Published online by Cambridge University Press:  16 September 2014

Jaap H. Abbring  and
Geert Ridder
Jaap H. Abbring*
Affiliation:
Tilburg University
Geert Ridder*
Affiliation:
University of Southern California
*
*Address correspondence to Jaap Abbring, centER, Department of Econometrics & OR, Tilburg university, P.O. Box 90153, 5000 LE Tilburg, The Netherlands; e-mail: [email protected] or to Geert Ridder, Department of Economics, University of Southern California, Los Angeles, CA 90089, USA; e-mail: [email protected].
*Address correspondence to Jaap Abbring, centER, Department of Econometrics & OR, Tilburg university, P.O. Box 90153, 5000 LE Tilburg, The Netherlands; e-mail: [email protected] or to Geert Ridder, Department of Economics, University of Southern California, Los Angeles, CA 90089, USA; e-mail: [email protected].
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Abstract

Ridder (1990, Review of Economic Studies 57, 167–182) 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 0 and ∞. 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 nonparametric identification of the GAFT and MPH models.

Type
ARTICLES
Information
Econometric Theory , Volume 31 , Issue 6 , December 2015 , pp. 1229 - 1248
Copyright
Copyright © Cambridge University Press 2014 

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