Testing Proportionality in Duration Models with Respect to Continuous Covariates

A. Bhattacharjee, Samarjit Das

    Research output: Working paper

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    Abstract

    Several omnibus tests of the proportional hazards assumption have been proposed in the literature. In the two-sample case, tests have also been developed against non-parametrically specified ordered alternatives. This paper considers a natural extension of such monotone ordering to the case of continuous covariates, and develops tests for the proportional hazards assumption against such ordered alternatives. Small sample properties of the tests are explored. The use of the test statistics, and use of histogram sieve estimators in the case where proportionality does not hold, are illustrated with application to data on strike durations.
    Original languageEnglish
    Place of PublicationCambridge
    PublisherFaculty of Economics, University of Cambridge
    Number of pages22
    Publication statusPublished - 2002

    Publication series

    NameCambridge Working Papers in Economics
    PublisherFaculty of Economics, University of Cambridge
    No.0220

    Keywords

    • proportional hazards model
    • Increasing hazard ratio
    • increasing ratio of cumulative hazards
    • ordered (monotone) alternatives
    • two-sample problem
    • Histogram sieve estimators

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    Bhattacharjee, A., & Das, S. (2002). Testing Proportionality in Duration Models with Respect to Continuous Covariates. (Cambridge Working Papers in Economics; No. 0220). Faculty of Economics, University of Cambridge. http://ideas.repec.org/p/cam/camdae/0220.html