Identifiability of the sign of covariate effects in the competing risks model
Document Type
Journal article
Source Publication
Econometric Theory
Publication Date
10-1-2017
Volume
33
Issue
5
First Page
1186
Last Page
1217
Publisher
Cambridge University Press
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.
DOI
10.1017/S0266466616000372
Print ISSN
02664666
E-ISSN
14694360
Funding Information
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. {RES-061-25-0059}
Publisher Statement
Copyright © 2017 Cambridge University Press. Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
Lo, S. M. S., & Wilke, R. A. (2017). Identifiability of the sign of covariate effects in the competing risks model. Econometric Theory, 33(5), 1186-1217. doi: 10.1017/S0266466616000372