REGULAR VARIATION AND THE IDENTIFICATION OF GENERALIZED ACCELERATED FAILURE-TIME MODELS. (16th September 2014)

• Record Type: Journal Article
• Authors: Abbring, Jaap H.; Ridder, Geert
• Is Part Of: Econometric theory. Volume 31:Number 6(2015:Dec.)
• Page Start: 1229
• Page End: 1248
• Publication Date: 2014-09-16
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S0266466614000474
• Languages: English
• ISSNs: 0266-4666

Abstract

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.