A copula model for dependent competing risks
"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
|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|
|Contact details of provider:|| Postal: Regensburger Str. 104, D-90327 Nürnberg|
Web page: http://fdz.iab.de/
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- 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.
- 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.
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