Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

Arnab Bhattacharjee

No 2009-22, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

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 …nite 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)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:114

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