Simultaneous (or multiprocess) event history models have been developed over the most recent years, as a very particular and advanced type of duration models. Does anyone know if:
i) there is already some type of multiprocess event history models allowing for competing risks in BOTH processes (e.g., any way of modelling two main transition processes, where each transition may assume two or more different modes or routes)?
ii) there is any package that allows the estimation of these models in STATA?
The idea would be to estimate both processes jointly. One of the processes has been already studied through a discrete-time competing-risks model, but it would be nice if some methodology would allow the joint estimation of this competing-risk model (where transitions may occur through 2 routes) with another one, for another choice problem (precisely, a multinomial choice problem where agents decide among 4 alternative occupations), in order to allow for potential interdependencies (through unobservables) between the two processes.
http://myweb.uiowa.edu/fboehmke/methods.html
Iam not sure this is what you are looking for, but maybe the dursel ado by Boehmke could be a step in the right direction, as it allows estimation of duration selection models.
Dear Jonas,
thank you for your suggestion. This is definitely a first step, I have already used dursel, but this alternative does not allow, so far, and to the best of my knowledge, multiple choices in the selection equation, neither allows competing risks in the hazard equation. Do you know any model allowing multiple choices in the selection equation and binary or multiple choices in the outcome equation?
Dear Vera,
For the outcome equation: Competing risks models can be readily estimated for each destination separately, you do not need a special package for that: just stset your data accordingly and re-estimate the same models for each outcome, marking the spells that experience the respective other events as zero until that point and censored afterward. Your risk set will be the same each time, but the number of events will vary.
As for the selection equation I remember the routine had some rigidities in that respect, but maybe there, too, you can work with separate binary response models?
Sorry I cannot be of more help.
Best, Jonas
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