A competing risks model with time-varying heterogeneity and simultaneous failure

Artikel

This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Lévy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time-varying heterogeneity represented by the unobservable Lévy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification of all model primitives given competing risks data. A flexible semiparametric estimation procedure is provided and illustrated through the analysis of a real dataset.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 11 ; Year: 2020 ; Issue: 2 ; Pages: 535-577 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; Duration Analysis; Optimal Timing Strategies
• Subject: Duration analysis ; competing risks ; first passage times ; nonparametric identification

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Liu, Ruixuan
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2020

Further information

• DOI: doi:10.3982/QE1159
• Handle: http://hdl.handle.net/10419/217195
• Last update: 10.03.2025, 11:42 AM CET