A copula model for dependent competing risks
AbstractMany popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula-based estimators are also consistent in the presence of dependent competing risks. We suggest a computationally convenient extension of the copula graphic estimator to a model with more than two dependent competing risks. We analyse the applicability of this estimator by means of simulations and unemployment duration data from Germany. We obtain evidence that our estimator yields nice results if the dependence structure is known and that it is a powerful tool for the assessment of the relevance of (in-)dependence assumptions in applied duration research. Copyright (c) 2010 Royal Statistical Society.
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Bibliographic InfoArticle provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series C (Applied Statistics).
Volume (Year): 59 (2010)
Issue (Month): 2 ()
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Other versions of this item:
- Lo, Simon M. S. & Wilke, Ralf A., 2009. "A copula model for dependent competing risks," FDZ Methodenreport 200902_en, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Simon M. S. Lo & Ralf Wilke, . "A copula model for dependent competing risks," Discussion Papers 09/01, University of Nottingham, School of Economics.
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Wilke, Ralf A. & Lo, Simon M. S. & Arntz, Melanie, 2007.
"Bounds Analysis of Competing Risks: A Nonparametric Evaluation of the Effect of Unemployment Benefits on Imigration in Germany,"
ZEW Discussion Papers
07-049, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Arntz, Melanie & Lo, Simon M. S. & Wilke, Ralf A., 2007. "Bounds analysis of competing risks : a nonparametric evaluation of the effect of unemployment benefits on migration in Germany," FDZ Methodenreport 200704_en, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
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- Lo Simon M.S. & Wilke Ralf A., 2014.
"A Regression Model for the Copula-Graphic Estimator,"
Journal of Econometric Methods,
De Gruyter, vol. 3(1), pages 21-46, January.
- Simon M.S. Lo & Ralf A. Wilke, . "A Regression Model for the Copula Graphic Estimator," Discussion Papers 11/04, University of Nottingham, School of Economics.
- Dimitrova, Dimitrina S. & Haberman, Steven & Kaishev, Vladimir K., 2013. "Dependent competing risks: Cause elimination and its impact on survival," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 464-477.
- Simon M.S. Lo & Ralf A. Wilke, . "Identifiability and estimation of the sign of a covariate effect in the competing risks model," Discussion Papers 11/03, University of Nottingham, School of Economics.
- Arntz, Melanie & Lo, Simon M. S. & Wilke, Ralf A., 2008. "Bounds analysis of competing risks : a nonparametric evaluation of the effect of unemployment benefits on migration in Germany (Revised version of the FDZ Methodenbericht No. 04/2007)," FDZ Methodenreport 200806_en, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
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