Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

Arnab Bhattacharjee ()

Discussion Paper Series, Department of Economics from Department of Economics, University of St. Andrews

Abstract: We develop tests of the proportional hazards assumption, with respect to a continuous covariate, in the presence of unobserved heterogeneity with unknown distribution at the individual observation level. The proposed tests are specially powerful against ordered alternatives useful for modeling non-proportional hazards situations. By contrast to the case when the heterogeneity distribution is known up to finite dimensional parameters, the null hypothesis for the current problem is similar to a test for absence of covariate dependence. However, the two testing problems di¤er in the nature of relevant alternative hypotheses. We develop tests for both the problems against ordered alternatives. Small sample performance and an application to real data highlight the usefulness of the framework and methodology .

Keywords: Two-sample tests; Increasing hazard ratio; Trend tests; Partial orders; Mixed proportional hazards model; Time varying coe¢cients. (search for similar items in EconPapers)
JEL-codes: C12 C14 C24 C41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2009-04
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