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Testing Proportionality in Duration Models with Respect to Continuous Covariates

Testing Proportionality in Duration Models with Respect to Continuous Covariates

Research output: Working paper

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Authors

  • A. Bhattacharjee
  • Samarjit Das

Research units

Info

Original languageEnglish
Place of publicationCambridge
PublisherFaculty of Economics, University of Cambridge
Publication date2002
Number of pages22
StatePublished

Publication series

NameCambridge Working Papers in Economics
PublisherFaculty of Economics, University of Cambridge
No.0220

Abstract

Several omnibus tests of the proportional hazards assumption have been proposed in the literature. In the two-sample case, tests have also been developed against non-parametrically specified ordered alternatives. This paper considers a natural extension of such monotone ordering to the case of continuous covariates, and develops tests for the proportional hazards assumption against such ordered alternatives. Small sample properties of the tests are explored. The use of the test statistics, and use of histogram sieve estimators in the case where proportionality does not hold, are illustrated with application to data on strike durations.

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