Identifiability of the misspecified split hazard models

Sanjiv Jaggia, California Polytechnic State University - San Luis Obispo

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Copyright © 2011 Taylor & Francis. This is an electronic version of an article published in Applied Economics. The definitive version is available at http://dx.doi.org/10.1080/00036841003652422.

Abstract

Unlike standard models, a split population hazard model allows the exit probability to be less than one. Although conceptually attractive, split models are prone to identification problems. In the reduced form estimation of the hazard function, the influence of split may not be distinguishable from that of neglected heterogeneity. For illustration, I use Monte Carlo simulations to highlight the problem of interpreting the structural parameters of the split Weibull and the Weibull-gamma models.