Flexible control function approach under different types of dependent censoring

In this paper, we consider the problem of estimating the causal effect of an endogenous variable Z on a survival time T that can be subject to different types of dependent censoring. Firstly, we extend the current literature by simultaneously allowing for both independent (A) and dependent (C) censoring. Moreover, we have different parametric transformations for T and C that result in a more additive structure with approximately normal and homoscedastic error terms. The model is shown to be identified and a two-step estimation method is specified. It is shown that this estimator results in consistent and asymptotically normal estimates. Secondly, a goodness-of-fit test is developed to check the model's validity. To estimate the distribution of the statistic, a parametric bootstrap approach is used. Lastly, we show how the model naturally extends to a competing risks setting. Simulations are used to evaluate the finite-sample performance of the proposed methods and approaches. Moreover, we investigate two data applications regarding the effect of job training programs on unemployment duration and the effect of periodic screenings on breast cancer mortality rates.