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

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

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

This paper has been announced in the following NEP Reports:

NEP-ALL-2002-03-14 (All new papers)

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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)
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)
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)
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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