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Identification of a competing risks model with unknown transformations of latent failure times

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Sokbae Lee

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Abstract

This paper is concerned with identification of a competing risks model with unknown transformations of latent failure times. The model includes, as special cases, competing risks versions of proportional hazards, mixed proportional hazards and accelerated failure time models. It is shown that covariate effects on latent failure times, cause-specific link functions and the joint survivor function of the disturbance terms can be identified without relying on modelling the dependence between latent failure times parametrically nor using an exclusion restriction among covariates. As a result, the paper provides an identification result about the joint survivor function of the latent failure times conditional on covariates. Copyright 2006, Oxford University Press.

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File URL: http://hdl.handle.net/10.1093/biomet/93.4.996
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Publisher Info
Article provided by Oxford University Press for Biometrika Trust in its journal Biometrika.

Volume (Year): 93 (2006)
Issue (Month): 4 (December)
Pages: 996-1002
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Handle: RePEc:oup:biomet:v:93:y:2006:i:4:p:996-1002

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References listed on IDEAS
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.:
  1. Horowitz, Joel L. & Lee, Sokbae, 2004. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," Journal of Econometrics, Elsevier, vol. 119(1), pages 155-198, March. [Downloadable!] (restricted)
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  2. Bo E. Honore & Adriana Lleras Muney, 2004. "Bounds in Competing Risks Models and the War on Cancer," NBER Working Papers 10963, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA. [Downloadable!]
    Other versions:
  4. Jaap H. Abbring & Gerard J. van den Berg, 2003. "The identifiability of the mixed proportional hazards competing risks model," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 701-710. [Downloadable!] (restricted)
  5. Bo E. Honoré & Adriana Lleras-Muney, 2004. "Bounds in Competing Risks Models and the War on Cancer," CAM Working Papers 2004-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
  6. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
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  7. Fermanian, Jean-David, 2003. "Nonparametric estimation of competing risks models with covariates," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 156-191, April. [Downloadable!] (restricted)
  8. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  9. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-37, January. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Patrick Bayer & Shakeeb Khan & Christopher Timmins, 2008. "Nonparametric Identification and Estimation in a Generalized Roy Model," NBER Working Papers 13949, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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