A copula model for dependent competing risks

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Abstract:

Summary. 

Many popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula-based estimators are also consistent in the presence of dependent competing risks. We suggest a computationally convenient extension of the copula graphic estimator to a model with more than two dependent competing risks. We analyse the applicability of this estimator by means of simulations and 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.

Keywords: Archimedean copula; Dependent censoring; Duration of unemployment

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/j.1467-9876.2009.00695.x

Affiliations: 1: Lingnan University, Hong Kong 2: University of Nottingham, UK

Publication date: March 1, 2010

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