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Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform

Author

Listed:
  • Lo Simon M.S.

    (Lingnan University, Rm 218, Ho Sin Hang Building, Lingnan University, Hong Kong)

  • Stephan Gesine

    (Institute for Employment Research (IAB) and Friedrich-Alexander-Universitaet Erlangen Nuernberg (FAU), Regensburger Str. 104, 90478 Nuremberg, Germany)

  • Wilke Ralf A.

    (Copenhagen Business School, Department of Economics, Porcelaenshaven 16A, 2000 Frederiksberg, Denmark)

Abstract

The copula graphic estimator (CGE) for competing risks models has received little attention in empirical research, despite having been developed into a comprehensive research method. In this paper, we bridge the gap between theoretical developments and applied research by considering a general class of competing risks copula models, which nests popular models such as the Cox proportional hazards model, the semiparametric multivariate mixed proportional hazards model (MMPHM), and the CGE as special cases. Analyzing the effects of a German Hartz reform on unemployment duration, we illustrate that the CGE imposes fewer restrictions on partial covariate effects than standard methods do. Differences are less evident when a more flexible difference-in-differences estimator is applied. It is also found that the MMPHM estimates react more strongly to the choice of the copula than the CGE in terms of the shape of the treatment effect function over time. Thus, the MMPHM produces less robust results in our application.

Suggested Citation

  • Lo Simon M.S. & Stephan Gesine & Wilke Ralf A., 2017. "Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-20, January.
    • Handle: RePEc:bpj:jecome:v:6:y:2017:i:1:p:20:n:4
    DOI: 10.1515/jem-2015-0005
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    References listed on IDEAS

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    1. Jerry Hausman & Tiemen Woutersen, 2014. "Estimating the Derivative Function and Counterfactuals in Duration Models with Heterogeneity," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 472-496, August.
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    Cited by:

    1. Regina T. Riphahn & Rebecca Schrader, 2017. "Institutional reforms and an incredible rise in old age employment," Working Papers 169, Bavarian Graduate Program in Economics (BGPE).
    2. Inna Petrunyk & Christian Pfeifer, 2018. "Shortening the potential duration of unemployment benefits and labor market outcomes: Evidence from a natural experiment in Germany," Working Paper Series in Economics 377, University of Lüneburg, Institute of Economics.
    3. Inna Petrunyk & Christian Pfeifer, 2022. "Diverse effects of shorter potential unemployment benefit duration on labor market outcomes in Germany," LABOUR, CEIS, vol. 36(3), pages 367-388, September.
    4. Lo, Simon M.S. & Mammen, Enno & Wilke, Ralf A., 2020. "A nested copula duration model for competing risks with multiple spells," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
    5. Lo, Simon M.S. & Wilke, Ralf A. & Emura, Takeshi, 2024. "A semiparametric model for the cause-specific hazard under risk proportionality," Computational Statistics & Data Analysis, Elsevier, vol. 195(C).

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    More about this item

    Keywords

    Archimedean copula; frailty; policy evaluation;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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