Scandinavian Working Papers in Economics
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IFAU - Institute for Evaluation of Labour Market and Education Policy Working Paper Series
IFAU - Institute for Evaluation of Labour Market and Education Policy

No 2016:3:
A general semiparametric approach to inference with marker-dependent hazard rate models

Gerard J. van den Berg, Lena Janys, Enno Mammen and Jens P. Nielsen

Abstract: 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.

Keywords: survival analysis; semiparametric estimation; covariate effects; kernel estimation; local linear regression; birth weight; mortality; Barker hypothesis; social class; (follow links to similar papers)

JEL-Codes: C00; (follow links to similar papers)

38 pages, February 29, 2016

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