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The non-parametric identification of the mixed proportional hazards competing risks model

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Author Info
Abbring, Jaap H. (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)
Berg, Gerard J. van den

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Abstract

We prove identification of dependent competing risks models in which each risk has a mixed proportional hazard specification with regressors, and the risks are dependent by way of the unobserved heterogeneity, or frailty, components. We show that the conditions for non-parametric identification given by Heckman and Honor6 (1989) can be relaxed. We generalize the results for the case in which multiple spells are observed for each subject.

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Publisher Info
Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0024.

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Date of creation: 2000
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Handle: RePEc:dgr:vuarem:2000-24

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Related research
Keywords: competing risks mixed proportional hazard non-parametric identification frailty duration model multiple spells.

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Find related papers by JEL classification:
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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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. Honore, Bo E, 1993. "Identification Results for Duration Models with Multiple Spells," Review of Economic Studies, Blackwell Publishing, vol. 60(1), pages 241-46, January. [Downloadable!] (restricted)
  2. James J. Heckman & Christopher R. Taber, 1994. "Econometric Mixture Models and More General Models for Unobservables in Duration Analysis," NBER Technical Working Papers 0157, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Elbers, Chris & Ridder, Geert, 1982. "True and Spurious Duration Dependence: The Identifiability of the Proportional Hazard Model," Review of Economic Studies, Blackwell Publishing, vol. 49(3), pages 403-09, July. [Downloadable!] (restricted)
  4. Hahn, Jinyong, 1994. "The Efficiency Bound of the Mixed Proportional Hazard Model," Review of Economic Studies, Blackwell Publishing, vol. 61(4), pages 607-29, October. [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. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  2. Piil Damm, Anna, 2005. "Immigrants’ Location Preferences: Exploiting a Natural Experiment," Working Papers 05-2, University of Aarhus, Aarhus School of Business, Department of Economics. [Downloadable!]
  3. Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics. [Downloadable!]
  4. Gordana Paric & Paul Rilstone, 2000. "Nonparametric Identification of Latent Competing Risks and Roy Duration Models," Econometric Society World Congress 2000 Contributed Papers 0716, Econometric Society. [Downloadable!]
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