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A copula model for dependent competing risks

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  • Lo, Simon M. S.
  • Wilke, Ralf A.

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 Info

Paper provided by Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] in its series FDZ Methodenreport with number 200902_en.

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Length: 24 pages
Date of creation: 11 Mar 2009
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Publication status: published in: Journal of the Royal Statistical Society. Series C, Applied Statistics, Vol. 52 No. 2, p. 359-376
Handle: RePEc:iab:iabfme:200902_en

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Keywords: Risikoabschätzung - Modell; Wirkungsforschung - Methode; Methodologie; Arbeitsmarktpolitik - Erfolgskontrolle; ältere Arbeitnehmer; Leistungsanspruch - Dauer; Arbeitslosigkeitsdauer; IAB-Beschäftigtenstichprobe;

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References

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  1. 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.
  2. 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.
  3. Van den Berg, Gerard J., 2001. "Duration models: specification, identification and multiple durations," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460 Elsevier.
  4. Zimmer, David M. & Trivedi, Pravin K., 2006. "Using Trivariate Copulas to Model Sample Selection and Treatment Effects: Application to Family Health Care Demand," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 63-76, January.
  5. Rivest, Louis-Paul & Wells, Martin T., 2001. "A Martingale Approach to the Copula-Graphic Estimator for the Survival Function under Dependent Censoring," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 138-155, October.
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Citations

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Cited by:
  1. Lo, Simon M.S. & Stephan, Gesine & Wilke, Ralf, 2012. "Estimating the Latent Effect of Unemployment Benefits on Unemployment Duration," IZA Discussion Papers 6650, Institute for the Study of Labor (IZA).
  2. 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].
  3. 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.
  4. 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.

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