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Identification of a competing risks model with unknown transformations of latent failure times

  • Sokbae 'Simon' Lee

    ()

    (Institute for Fiscal Studies and University College London)

This paper is concerned with identification of a competing risks model with unknown transformations of latent failure times. The model in this paper includes, as special cases, competing risks versions of proportional hazards, mixed proportional hazards, and accelerated failure time models. It is shown that covariate effects on latent failure times, cause-specific link functions, and the joint survivor function of the disturbance terms can be identified without relying on modelling the dependence between latent failure times parametrically nor using an exclusion restriction among covariates. As a result, the paper provides an identification result on the joint survivor function of the latent failure times conditional on covariates.

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File URL: http://cemmap.ifs.org.uk/wps/cwp1705.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP17/05.

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Length: 12 pp.
Date of creation: Nov 2005
Date of revision:
Handle: RePEc:ifs:cemmap:17/05
Contact details of provider: Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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Web page: http://cemmap.ifs.org.uk
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  1. Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
  2. 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.
  3. Joel Horowitz & Sokbae 'Simon' Lee, 2002. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," CeMMAP working papers CWP21/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
  5. Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-37, January.
  6. Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
  7. Bo E. Honore & Adriana Lleras Muney, 2004. "Bounds in Competing Risks Models and the War on Cancer," NBER Working Papers 10963, National Bureau of Economic Research, Inc.
  8. Bo E. Honoré & Adriana Lleras-Muney, 2004. "Bounds in Competing Risks Models and the War on Cancer," CAM Working Papers 2004-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  9. Fermanian, Jean-David, 2003. "Nonparametric estimation of competing risks models with covariates," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 156-191, April.
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