| Abstract: | We analyse a flexible parametric estimation technique for a competing risks (CR) model with unobserved heterogeneity, by extending a local mixed proportional hazard single risk model for continuous duration time to a local mixture CR (LMCR) model for discrete duration time. The state-specific local hazard function for the LMCR model is per definition a valid density function if we have either one or two destination states. We conduct Monte Carlo experiments to compare the estimated parameters of the LMCR model, and to compare the estimated parameters of a CR model based on a Heckman–Singer-type (HS-type) technique, with the data-generating process parameters. The Monte Carlo results show that the LMCR model performs better or at least as good as the HS-type model with respect to the estimated structure parameters in most of the cases, but relatively poorer with respect to the estimated duration-dependence parameters. |
