Properly calculating estat phtest in the presence of stratified hazards

Shawna K. Metzger () and Benjamin T. Jones ()
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Shawna K. Metzger: Michigan State University
Benjamin T. Jones: University of Mississippi

Stata Journal, 2021, vol. 21, issue 4, 1028-1033

Abstract: The Schoenfeld residual-based test for proportional-hazards violations in the Cox duration model is predicated on a key assumption pertaining to ho- moskedasticity in the residuals. This assumption is likely to be violated in the pres- ence of stratified hazards, which is noted in estat phtest’s help file. We provide a wrapper command, stratph, that implements a straightforward modification to the residual-based diagnostic that corrects for the potential assumption violation. We use the stratified hazards example from the stcox help file to demonstrate the stratph command’s workings.

Keywords: stratph; estat phtest; proportional hazards; Cox model; stratified hazards; heteroskedasticity (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211063408

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