Scandinavian Working Papers in Economics

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
Additional contact information
Gerard J. van den Berg: University of Bristol, Postal: Institute for Evaluation of Labour Market and Education Policy, P O Box 513, SE-751 20 Uppsala, Sweden
Lena Janys: University of Bonn
Enno Mammen: Heidelberg University and Higher School of Economics, Moscow
Jens P. Nielsen: Cass Business School, London

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

JEL-codes: C00

38 pages, February 29, 2016

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