Identifiability of the Sign of Covariate Effects in the Competing Risks Model

Simon M.S. Lo, Ralf Wilke

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Resumé

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.
OriginalsprogEngelsk
TidsskriftEconometric Theory
Vol/bind33
Udgave nummer5
Sider (fra-til)1186-1217
Antal sider32
ISSN0266-4666
DOI
StatusUdgivet - 2017

Bibliografisk note

Published online: 3. October 2016

Citer dette

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Identifiability of the Sign of Covariate Effects in the Competing Risks Model. / Lo, Simon M.S.; Wilke, Ralf.

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Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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