A copula model for dependent competing risks
Abstract"Many popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula based estimators are also consistent in presence of dependent competing risks. In this paper we suggest a computationally convenient extension of the Copula Graphic Estimator (Zheng and Klein, 1995) to a model with more than two dependent competing risks. We analyse the applicability of this estimator by means of simulations and real world 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." (Author's abstract, IAB-Doku) ((en)) Additional Information Appendix for the FDZ-Methodenreport No. 02/2009
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Bibliographic InfoPaper provided by Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] in its series FDZ Methodenreport with number 200902_en.
Length: 24 pages
Date of creation: 11 Mar 2009
Date of revision:
Publication status: published in: Journal of the Royal Statistical Society. Series C, Applied Statistics, Vol. 52 No. 2, p. 359-376
Risikoabschätzung - Modell; Wirkungsforschung - Methode; Methodologie; Arbeitsmarktpolitik - Erfolgskontrolle; ältere Arbeitnehmer; Leistungsanspruch - Dauer; Arbeitslosigkeitsdauer; IAB-Beschäftigtenstichprobe;
Other versions of this item:
- 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
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- 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].
- 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.
- Simon M.S. Lo & Ralf A. Wilke, .
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11/04, University of Nottingham, School of Economics.
- 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.
- Melanie Arntz & Simon Lo & Ralf Wilke, 2014. "Bounds analysis of competing risks: a non-parametric evaluation of the effect of unemployment benefits on migration," Empirical Economics, Springer, vol. 46(1), pages 199-228, February.
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