Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

Arnab Bhattacharjee

    Research output: Working paper/PreprintDiscussion paper

    67 Downloads (Pure)


    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
    ISSN (Print)0962-4031


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


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