A new test for single against competing risks models in duration analysis |
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| Authors: | Cao Chao |
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| Institution: | College of Finance, Nanjing Agricultural University, Nanjing, China |
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| Abstract: | This paper shows that the single-risk duration model with two event types is a limiting case of bivariate dependent competing risks model, where the joint distribution of event times are degenerate. Then a new test is proposed for the null hypothesis of single risk against dependent competing risks model under the proportional hazard model assumption. |
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| Keywords: | Weibull distribution Hougaard copula Lagrange multiplier test proportional hazard |
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