In this paper we discuss several key challenges encountered when conducting a study of the continuity of participation in the child care subsidy program. While many of these issues are familiar to those who have studied participation dynamics in other assistance programs, and to those familiar with survival analysis, we describe these challenges and solutions in the context of the child care subsidy program. This brief is intended to help grant reviewers, policymakers, and researchers new to the study of dynamics of subsidy participation when they plan, conduct and evaluate studies of child care subsidy participation. Ignoring these issues can lead to study results that are not comparable with other studies and may yield misleading findings. Given the importance of child care subsidies for low-income families and children, there is a need for comparable research that increases our understanding of families' experiences with child care subsidies and the influence of policy differences across states on the continuity of subsidy participation. (Contains 4 figures, 4 tables, and 14 footnotes.)[This Brief was developed by members of the Child Care Policy and Research Consortium's Child Care Subsidy.]