Open AccessA competing risks model with time‐varying heterogeneity and simultaneous failure
Author(s) -
Liu Ruixuan
Publication year - 2020
Publication title -
quantitative economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.062
H-Index - 27
eISSN - 1759-7331
pISSN - 1759-7323
DOI - 10.3982/qe1159
Subject(s) - unobservable , covariate , multiplicative function , nonparametric statistics , bivariate analysis , econometrics , exponential function , parametric statistics , proportional hazards model , specification , computer science , mathematics , statistics , mathematical analysis
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.