We provide new conditions for identification of accelerated failure time competing risks models. These include Roy models and some auction models. In our setup, unknown regression functions and the joint survivor function of latent disturbance terms are all nonparametric. We show that this model is identified given covariates that are independent of latent errors, provided that a certain rank condition is satisfied. We present a simple example in which our rank condition for identification is verified. Our identification strategy does not depend on identification at infinity or near zero, and it does not require exclusion assumptions. Given our identification, we show estimation can be accomplished using sieves.
Authors
Research Fellow Columbia University
Sokbae is an IFS Research Fellow and a Professor at Columbia University, with an interest in Econometrics, Applied Microeconomics and Statistics.
Research Associate Boston College
Arthur is a Research Associate of the IFS and holds the Barbara A. and Patrick E. Roche chair in economics at Boston College.
Journal article details
- DOI
- 10.1017/S0266466612000795
- Publisher
- Cambridge University Press
- Issue
- Volume 29, Issue 5, October 2013
Suggested citation
Lee, S and Lewbel, A. (2013). 'Nonparametric identification of accelerated failure time competing risks models' 29(5/2013)
More from IFS
Understand this issue
Empty defence spending promises are a shot in the dark
29 April 2024
Public investment: what you need to know
25 April 2024
The £600 billion problem awaiting the next government
25 April 2024
Policy analysis
Recent trends in and the outlook for health-related benefits
19 April 2024
4.2 million working-age people now claiming health-related benefits, could rise by 30% by the end of the decade
19 April 2024
Progression of nurses within the NHS
12 April 2024
Academic research
The employment and distributional impacts of nationwide minimum wage changes
10 April 2024
Willingness to pay for improved public education and public healthcare systems: the role of income mobility prospects
14 March 2024
Unfunded mandates and taxation
14 March 2024