A competing risks model with time-varying heterogeneity and simultaneous failure

• 成果类型: Article
• 署名作者: Liu, Ruixuan
• 署名单位: Emory University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1159
• 发表日期: 2020
• 页码: 535-577
• 关键词: Duration analysis; competing risks; first passage times; nonparametric identification

摘要

This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Levy subordinators with exponential thresholds and multiplicative covariates effects. Our specification extends the mixed proportional hazards model, as it allows for the time-varying heterogeneity represented by the unobservable Levy processes and it generates the simultaneous termination of both durations with positive probability. We obtain nonparametric identification of all model primitives given competing risks data. A flexible semiparametric estimation procedure is provided and illustrated through the analysis of a real dataset.