SEMI-NONPARAMETRIC INTERVAL-CENSORED MIXED PROPORTIONAL HAZARD MODELS: IDENTIFICATION AND CONSISTENCY RESULTS

In this paper I propose estimating distributions on the unit interval seminonparametrically using orthonormal Legendre polynomials+ This approach will be applied to the interval-censored mixed proportional hazard ~ICMPH! model, where the distribution of the unobserved heterogeneity is modeled seminonparametrically+ Various conditions for the nonparametric identification of the ICMPH model are derived+ I will prove general consistency results for M-estimators of ~partly! non-euclidean parameters under weak and easy-toverify conditions and specialize these results to sieve estimators+ Special attention is paid to the case where the support of the covariates is finite+