Article, 2020

A nested copula duration model for competing risks with multiple spells

Computational Statistics & Data Analysis, ISSN 1872-7352, 0167-9473, Volume 150, Page 106986, 10.1016/j.csda.2020.106986

Contributors

Lo, Simon Ming Sum 0000-0003-1273-4645 [1] Mammen, Enno [2] Wilke, Ralf Andreas 0000-0002-6105-6345 (Corresponding author) [3]

Affiliations

  1. [1] City University of Hong Kong
    2. [NORA names: China; Asia, East];
  2. [2] Heidelberg University
    3. [NORA names: Germany; Europe, EU; OECD];
  3. [3] Copenhagen Business School
    4. [NORA names: CBS Copenhagen Business School; University; Denmark; Europe, EU; Nordic; OECD]

Abstract

A copula graphic estimator for the competing risks duration model with multiple spells is presented. By adopting a nested copula structure the dependencies between risks and spells are modelled separately. This breaks up an implicit restriction of popular duration models such as multivariate mixed proportional hazards. It is shown that the dependence structure between spells is identifiable and can be estimated, in contrast to the dependence structure between competing risks. Thus, by allowing these two components to differ, the model is not identifiable. This is an important finding related to the general identifiability of competing risks models. Various features of the model are investigated by simulations and its practicality is illustrated by an application to unemployment duration data.

Keywords

components, copula graphic estimator, copula structure, data, dependence, dependence structure, duration, duration data, duration model, estimation, features, findings, graphical estimation, hazard, identifiers, implicit, implicit restrictions, mixed proportional hazard, model, multiple spells, practice, proportional hazards, restriction, risk, risk model, risks duration model, simulation, spelling, structure, unemployment, unemployment duration data

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