Regular variation and the identification of generalized accelerated failure-time models

Jaap H. Abbring*, G. Ridder

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

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 infinity. 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.

Original languageEnglish
Pages (from-to)1229-1248
Number of pages20
JournalEconometric Theory
Volume31
Issue number6
DOIs
Publication statusPublished - Dec 2015

Cite this

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title = "Regular variation and the identification of generalized accelerated failure-time models",
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 infinity. 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.",
author = "Abbring, {Jaap H.} and G. Ridder",
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language = "English",
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Regular variation and the identification of generalized accelerated failure-time models. / Abbring, Jaap H.; Ridder, G.

In: Econometric Theory, Vol. 31, No. 6, 12.2015, p. 1229-1248.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Regular variation and the identification of generalized accelerated failure-time models

AU - Abbring, Jaap H.

AU - Ridder, G.

PY - 2015/12

Y1 - 2015/12

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AB - 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 infinity. 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.

U2 - 10.1017/S0266466614000474

DO - 10.1017/S0266466614000474

M3 - Article

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SP - 1229

EP - 1248

JO - Econometric Theory

JF - Econometric Theory

SN - 0266-4666

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