This paper presents new identification conditions for the mixed proportional hazard model. In particular, the baseline hazard is assumed to be bounded away from 0 and ∞ near t = 0. These conditions ensure that the information matrix is nonsingular. The paper also presents an estimator for...

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the maximum likelihood estimator of the common parameters is in general inconsistent. This paper develops the integrated moment...

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters.

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the maximum likelihood estimator of the common parameters is in general inconsistent. This paper develops the integrated moment...

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Elbers and Ridder (1982) identify the Mixed Proportional Hazard model by assuming that the heterogeneity has finite mean. Under this assumption, the information matrix of the MPH model may be singular. Moreover, the finite mean assumption cannot be tested. This paper proposes a new...

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the inconsistency of the maximum likelihood estimator of the common parameters is in general of the order 1/T. This paper considers the...

We reconsider the efficiency bound for the semi-parametric Mixed Proportional Hazard (MPH) model with parametric baseline hazard and regression function. This bound was first derived by Hahn (1994). One of his results is that if the baseline hazard is Weibull, the efficiency bound is singular,...