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Activity Number:
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130
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #304383 |
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Title:
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A Copula Model for Dependent Competing Risks
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Author(s):
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Ralf Wilke*+ and Simon Lo
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Companies:
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University of Nottingham and University of Freiburg
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Address:
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, , ,
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Keywords:
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Archimedean copula ; dependent censoring ; unemployment duration
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Abstract:
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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 analyze 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.
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