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.
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- Van den Berg, Gerard J., 2001.
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Handbook of Econometrics,
in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 55, pages 3381-3460
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- 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.
- Arntz, Melanie & Lo, Simon M. S. & Wilke, Ralf A., 2007. "Bounds analysis of competing risks : a nonparametric evaluation of the effect of unemployment benefits on migration in Germany," FDZ Methodenreport 200704_en, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- 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.
- 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.
- 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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