Semiparametric estimation of a proportional hazard model with unobserved heterogeneity

The proportional hazard model with unobserved heterogeneity gives the hazar d function of a random variable conditional on covariates and a second rand om variable representing unobserved heterogeneity. This paper shows how to estimate the baseline hazard function and the distribution of the unobserve d heterogeneity nonparametrically. The baseline hazard function and heterog eneity distribution are assumed to satisfy smoothness conditions but are no t assumed to belong to known, finite-dimensional, parametric families. Exis ting estimators assume that the baseline hazard function or heterogeneity d istribution belongs to a known parametric family. Thus, the estimators pres ented here are more general than existing ones.