<p>We provide new conditions for identification of accelerated failure time competing risks models. These include Roy models and some auction models. In our set up, 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.</p>
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.
Working Paper details
- DOI
- 10.1920/wp.cem.2010.1410
- Publisher
- IFS
Suggested citation
Lee, S and Lewbel, A. (2010). Nonparametric identification of accelerated failure time competing risks models. London: IFS. Available at: https://ifs.org.uk/publications/nonparametric-identification-accelerated-failure-time-competing-risks-models (accessed: 12 May 2024).
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