A copula model for dependent competing risks

Simon Lo and Ralf Wilke

No 200902 (en), FDZ-Methodenreport from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]

Abstract: "Many popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula based estimators are also consistent in presence of dependent competing risks. In this paper we suggest a computationally convenient extension of the Copula Graphic Estimator (Zheng and Klein, 1995) to a model with more than two dependent competing risks. We analyse the applicability of this estimator by means of simulations and real world 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." (Author's abstract, IAB-Doku) ((en))

Keywords: Bundesrepublik Deutschland; Dauer; Erfolgskontrolle; IAB-Beschäftigtenstichprobe; Leistungsanspruch; ältere Arbeitnehmer; Methode; Methodologie; Modell; Risikoabschätzung; Arbeitslosigkeitsdauer; Arbeitsmarktpolitik; Wirkungsforschung; 1995-2000 (search for similar items in EconPapers)
JEL-codes: C41 C51 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2009
References: Add references at CitEc
Citations:

Published in/as: Journal of the Royal Statistical Society. Series C, Applied Statistics, Vol. 52 No. 2, S. 359-376, doi:10.1111/j.1467-9876.2009.00695.x

Downloads: (external link)
https://doku.iab.de/fdz/reporte/2009/MR_02-09_EN.pdf

Related works:
Journal Article: A copula model for dependent competing risks (2010)
Working Paper: A copula model for dependent competing risks (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iab:iabfme:200902(en)

Access Statistics for this paper

More papers in FDZ-Methodenreport from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] Contact information at EDIRC.
Bibliographic data for series maintained by IAB, Geschäftsbereich Wissenschaftliche Fachinformation und Bibliothek ().