A Competing Risks Model with Time-varying Heterogeneity and Simultaneous Failure

49 Pages Posted: 30 Sep 2019

See all articles by Ruixuan Liu

Ruixuan Liu

Emory University - Department of Economics

Date Written: September 16, 2019

Abstract

This paper proposes a new bivariate competing risks model in which both durations are the first passage times of dependent Lévy 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 Lévy 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.

Keywords: Duration Analysis, Competing Risks, First Passage Times, Non- parametric Identification

JEL Classification: C14, C34, C41

Suggested Citation

Liu, Ruixuan, A Competing Risks Model with Time-varying Heterogeneity and Simultaneous Failure (September 16, 2019). Available at SSRN: https://ssrn.com/abstract=3456382 or http://dx.doi.org/10.2139/ssrn.3456382

Ruixuan Liu (Contact Author)

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

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