### Abstract

Original language | English |
---|---|

Place of Publication | Cambridge |

Publisher | Faculty of Economics, University of Cambridge |

Number of pages | 21 |

Publication status | Published - 2004 |

### Publication series

Name | Cambridge Working Papers in Economics |
---|---|

Publisher | Faculty of Economics, University of Cambridge |

No. | 0401 |

### Fingerprint

### Keywords

- Covariate dependence
- Continuous covariate
- Two-sample tests
- Trend tests

### Cite this

*A Simple Test for the Absence of Covariate Dependence in Duration Models*. (Cambridge Working Papers in Economics; No. 0401). Cambridge: Faculty of Economics, University of Cambridge.

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**A Simple Test for the Absence of Covariate Dependence in Duration Models.** / Bhattacharjee, A.

Research output: Working paper

TY - UNPB

T1 - A Simple Test for the Absence of Covariate Dependence in Duration Models

AU - Bhattacharjee, A.

PY - 2004

Y1 - 2004

N2 - This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against the omnibus alternative, where the covariate is continuous. The tests developed are also useful in detecting trend in the underlying hazard rates (i.e., when the alternative hypothesis postulates that the hazard function is increasing or decreasing in the value of the covariate, for all durations) or changepoint trend alternatives (where the hazard function increases in covariate value over one range of the covariate space, and decreases over another). Asymptotic distributions of the test statistics are established using counting process techniques. Small sample properties of the tests are studied, and the use of the tests in empirical applications is illustrated.

AB - This paper describes a simple extension of popular tests of equality of hazard rates in a two-sample or k-sample setup to a situation where the covariate under study is continuous. In other words, we test the null hypothesis that the hazard does not depend on the value of the covariate against the omnibus alternative, where the covariate is continuous. The tests developed are also useful in detecting trend in the underlying hazard rates (i.e., when the alternative hypothesis postulates that the hazard function is increasing or decreasing in the value of the covariate, for all durations) or changepoint trend alternatives (where the hazard function increases in covariate value over one range of the covariate space, and decreases over another). Asymptotic distributions of the test statistics are established using counting process techniques. Small sample properties of the tests are studied, and the use of the tests in empirical applications is illustrated.

KW - Covariate dependence

KW - Continuous covariate

KW - Two-sample tests

KW - Trend tests

M3 - Working paper

T3 - Cambridge Working Papers in Economics

BT - A Simple Test for the Absence of Covariate Dependence in Duration Models

PB - Faculty of Economics, University of Cambridge

CY - Cambridge

ER -