In this paper, we develop a fully nonparametric approach for the estimation of the cumulative incidence function with Missing At Random right-censored competing risks data. We obtain results on the pointwise asymptotic normality as well as the uniform convergence rate of the proposed...

In this paper, we develop a fully nonparametric approach for the estimation of the cumulative incidence function with Missing At Random right-censored competing risks data. We obtain results on the pointwise asymptotic normality as well as the uniform convergence rate of the proposed...

We provide a wind power forecasting methodology that exploits many of the actual data's statistical features, in particular both-sided censoring. While other tools ignore many of the important “stylized facts” or provide forecasts for short-term horizons only, our approach focuses on...

We provide a wind power forecasting methodology that exploits many of the actual data's statistical features, in particular both-sided censoring. While other tools ignore many of the important stylized facts or provide forecasts for short-term horizons only, our approach focuses on medium-term...

This note describes how the (single-spell) identification result of the timing-of-events model by Abbring and Van den Berg (2003b) can be extended to a model that accommodates several competing exit risks. The extended model can be used for example to distinguish between the different effects of...

We introduce a dynamic treatment to the mixed proportional hazard competing risks model and allow for selection on unobservables. Our model can e.g. be used to evaluate the effect of benefit sanctions on the transition rate out of unemployment when more than one exit risk is of interest....

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

The present article offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select among regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...

Within a flexible parametric regression framework (Hamilton, 2001) we provide further evidence on the existence of a nonlinear component in the quarterly growth rate of the US real GNP. We implement a battery of new tests for neglected nonlinearity based on the theory of random fields (Dahl and...

Within a flexible parametric regression framework (Hamilton, 2001) we provide further evidence on the existence of a nonlinear component in the quarterly growth rate of the US real GNP. We implement a battery of new tests for neglected nonlinearity based on the theory of random fields (Dahl and...