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IDENTIFIABILITY OF THE SIGN OF COVARIATE EFFECTS IN THE COMPETING RISKS MODEL

Published online by Cambridge University Press:  03 October 2016

Simon M.S. Lo  and
Ralf A. Wilke
Simon M.S. Lo
Affiliation:
Lingnan University
Ralf A. Wilke*
Affiliation:
Copenhagen Business School
*
*Address correspondence to Ralf A. Wilke, Copenhagen Business School, Department of Economics, Porcelænshaven 16A, DK-2000, Frederiksberg; e-mail: rw.eco@cbs.dk.
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Abstract

We present a new framework for the identification of competing risks models, which also include Roy models. We show that by establishing a Hicksian-type decomposition, the direction of covariate effects on the marginal distributions of the competing risks model can be identified under weak restrictions. Our approach leaves the marginal distributions and their joint distribution completely unspecified, except that the associated copula is invariant in the covariates. Results from simulations and two data examples suggest that our method often outperforms existing comparable approaches in terms of the range of durations for which the direction of the covariate effect is identified, particularly for long duration.

Type
ARTICLES
Information
Econometric Theory , Volume 33 , Issue 5 , October 2017 , pp. 1186 - 1217
Copyright
Copyright © Cambridge University Press 2016 

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Footnotes

We thank the editor, a co-editor, two reviewers, Bernd Fitzenberger and Jaap Abbring for very useful comments and suggestions and Lutz Dümbgen for helpful discussions. Wilke is supported by the Economic and Social Research Council through the Bounds for Competing Risks Duration Models using Administrative Unemployment Duration Data (RES-061-25-0059) grant.

References

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