A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models

Arnab Bhattacharjee

    Research output: Working paper

    43 Downloads (Pure)

    Abstract

    This paper extends commonly used tests for 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 hypothesis that the conditional hazard rate is the same for all covariate values, against the omnibus alternative as well as more specific alternatives, when the covariate is continuous. The tests developed are particularly useful for detecting trend in the underlying conditional hazard rates or changepoint trend alternatives. Asymptotic distribution of the test statistics are established and small sample properties of the tests are studied. An application to the e¤ect of aggregate Q on corporate failure in the UK shows evidence of trend in the covariate e¤ect, whereas a Cox regression model failed to detect evidence of any covariate effect. Finally, we discuss an important extension to testing for proportionality of hazards in the presence of individual level frailty with arbitrary distribution.
    Original languageEnglish
    Place of PublicationMunich
    PublisherUniversity Library of Munich, Germany
    Number of pages26
    Publication statusPublished - 2004

    Publication series

    NameMPRA
    PublisherUniversity of Munich
    No.3937

    Keywords

    • Covariate dependence
    • Continuous covariate
    • Two-sample tests
    • Trend tests
    • Proportional hazards
    • Frailty
    • Linear transformation model

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