An instrumental variable approach under dependent censoring

This paper considers the problem of inferring the causal effect of a variable Z on a dependently censored survival time T. We allow for unobserved confounding variables, such that the error term of the regression model for T is dependent on the confounded variable Z. Moreover, T is subject to dependent censoring. This means that T is right censored by a censoring time C, which is dependent on T (even after conditioning out the effects of the measured covariates). A control function approach, relying on an instrumental variable, is leveraged to tackle the confounding issue. Further, it is assumed that T and C follow a joint regression model with bivariate Gaussian error terms and an unspecified covariance matrix, such that the dependent censoring can be handled in a flexible manner. Conditions under which the model is identifiable are given, a two-step estimation procedure is proposed, and it is shown that the resulting estimator is consistent and asymptotically normal. Simulations are used to confirm the validity and finite-sample performance of the estimation procedure. Finally, the proposed method is used to estimate the causal effect of job training programs on unemployment duration.