Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

Arnab Bhattacharjee

    Research output: Working paperDiscussion paper

    42 Downloads (Pure)

    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 finite 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 .
    Original languageEnglish
    Place of PublicationSt. Andrews
    PublisherDepartment of Economics, University of St. Andrews
    Number of pages46
    Publication statusPublished - 2009

    Publication series

    NameDiscussion Paper Series
    PublisherSchool of Ecomonics and Finance, University of St. Andrews
    No.0904
    ISSN (Print)0962-4031

    Keywords

    • Two-sample tests
    • Increasing hazard ratio
    • Trend tests
    • Partial orders
    • Mixed proportional hazards model
    • Time varying coefficients

    Fingerprint Dive into the research topics of 'Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity'. Together they form a unique fingerprint.

  • Research Output

    • 1 Discussion paper

    Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

    Bhattacharjee, A., 2009, St. Andrews: Scottish Institute for Research in Economics , 46 p. (SIRE Discussion Papers; no. 2009-22).

    Research output: Working paperDiscussion paper

    Open Access
    File
  • Cite this

    Bhattacharjee, A. (2009). Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity. (Discussion Paper Series; No. 0904). Department of Economics, University of St. Andrews. http://ideas.repec.org/p/san/wpecon/0904.html