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A general semiparametric approach to inference with marker-dependent hazard rate models

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2021

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Van den Berg, Gerard J.
Mammen, Enno
Nielsen, Jens Perch

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https://doi.org/10.1016/j.jeconom.2019.05.025
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Deutsche Forschungsgemeinschaft (DFG): FOR916
Deutsche Forschungsgemeinschaft (DFG): 390685813

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Open Access-Veröffentlichung

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Journal of Economics. Elsevier. 2021, 221(1), S. 43-67. ISSN 0304-4076. eISSN 1872-6895. Verfügbar unter: doi: 10.1016/j.jeconom.2019.05.025

Zusammenfassung

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 empirical 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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

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

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ISO 690VAN DEN BERG, Gerard J., Lena JANYS, Enno MAMMEN, Jens Perch NIELSEN, 2021. A general semiparametric approach to inference with marker-dependent hazard rate models. In: Journal of Economics. Elsevier. 2021, 221(1), S. 43-67. ISSN 0304-4076. eISSN 1872-6895. Verfügbar unter: doi: 10.1016/j.jeconom.2019.05.025
BibTex
@article{VandenBerg2021-03gener-76367,
  title={A general semiparametric approach to inference with marker-dependent hazard rate models},
  year={2021},
  doi={10.1016/j.jeconom.2019.05.025},
  number={1},
  volume={221},
  issn={0304-4076},
  journal={Journal of Economics},
  pages={43--67},
  author={Van den Berg, Gerard J. and Janys, Lena and Mammen, Enno and Nielsen, Jens Perch}
}
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