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Identification of a competing risks model with unknown transformations of latent failure times

Authors: Sokbae Lee
Date: 30 November 2005
Type: cemmap Working Paper, CWP17/05
DOI: 10.1920/wp.cem.2005.1705

Abstract

This paper is concerned with identification of a competing risks model with unknown transformations of latent failure times. The model in this paper includes, as special cases, competing risks versions of proportional hazards, mixed proportional hazards, and accelerated failure time models. It is shown that covariate effects on latent failure times, cause-specific link functions, and the joint survivor function of the disturbance terms can be identified without relying on modelling the dependence between latent failure times parametrically nor using an exclusion restriction among covariates. As a result, the paper provides an identification result on the joint survivor function of the latent failure times conditional on covariates. Download full version

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