Nonparametric identification of Dynamic Treatment Effects in Competing Risks Models

We introduce a dynamic treatment to the mixed proportional hazard competing risks model and allow for selection on unobservables. Our model may for example be used to simultaneously evaluate the effect of a benefit sanction on different competing exit risks such as 'finding work' vs. 'exiting the labor force'. We account for the endogeneity of the timing at which the individual enters into treatment by adding the hazard rate of the duration to treatment as an additional equation to the competing risks model. We present a new identification result of this model for single-spell duration data