OsoGris and N6; The Allison method of handling competing risks must done with care. If you violate the assumption of non-informative exits and cannot FULLY control for it with covariates then his approach is not appropriate. For more recent work on this problem see this talk by Pintilie; www.stat.ucl.ac.be/edt/20082009/Pintilie/CR.pdf
After spending weeks running and then writting up the Allison approach only to have it tanked by my committee believe me I know it's an issue and an important one.
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