Testing for proportional hazards with unrestricted univariate unobserved heterogeneity

    Research output: Working paper

    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 differ 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
    Publication statusPublished - 2009

    Publication series

    NameSIRE Discussion Papers

    Keywords

    • two-sample tests
    • increasing hazard ratio
    • trend tests
    • partial orders
    • mixed proportional hazards model
    • time varying coefficients

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  • Cite this

    Bhattacharjee, A. (2009). Testing for proportional hazards with unrestricted univariate unobserved heterogeneity. (SIRE Discussion Papers ). Scottish Institute for Research in Economics.