Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

Arnab Bhattacharjee

    Research output: Working paperDiscussion paper

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    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 …nite 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
    PublisherScottish Institute for Research in Economics
    Number of pages46
    Publication statusPublished - 2009

    Publication series

    NameSIRE Discussion Papers
    PublisherScottish Institute for Research in Economics
    No.2009-22

    Keywords

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

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  • Research Output

    • 1 Discussion paper

    Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity

    Bhattacharjee, A., 2009, St. Andrews: Department of Economics, University of St. Andrews, 46 p. (Discussion Paper Series; no. 0904).

    Research output: Working paperDiscussion paper

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    Bhattacharjee, A. (2009). Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity. (SIRE Discussion Papers; No. 2009-22). Scottish Institute for Research in Economics . http://ideas.repec.org/p/edn/sirdps/114.html