Stratified partial likelihood estimation

When multiple durations are generated by a single unit, they may be related in a way that is not fully captured by the regressors. The omitted unit-sp ecific variables might vary over the durations, They might also be correlat ed with the variables in the regression component. We propose an estimator that responds to these concerns and develop a specification test for detect ing unobserved unit-specific effects, Data from Malaysia reveal that concen tration of child mortality in some families is imperfectly explained by obs erved explanatory variables, and that failure to control for unobserved het erogeneity seriously biases the parameter estimates. (C) 1999 Elsevier Scie nce S.A. All rights reserved, JEL classification: C14; C41; J13.