A competing risks model is a model for multiple durations that start at the same point of time for a given subject, where the subject is observed until the first duration is completed and one also observes which of the durations is completed first. This article gives an overview of the main...

Since the early 1980s, the econometric analysis of duration variables has become widespread. This chapter provides an overview of duration analysis, with an emphasis on the specification and identification of duration models, and with special attention to models for multiple durations. Most of...

We study the non-parametric identification of a mixed proportional hazard model with lagged duration dependence when data provide multiple outcomes per individual or stratum. We show that the information conveyed by the within strata variation can be exploited to non-parametrically identify...

We prove identification of dependent competing risks models in which each risk has a mixed proportional hazard specification with regressors, and the risks are dependent by way of the unobserved heterogeneity, or frailty, components. We show that the conditions for non-parametric identification...

We prove identification of dependent competing risks models in which each risk has a mixed proportional hazard specification with regressors, and the risks are dependent by way of the unobserved heterogeneity, or frailty, components. We show that the conditions for non-parametric identification...

We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors' solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such...