Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity
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 .
|Date of creation:||15 Apr 2009|
|Date of revision:|
|Contact details of provider:|| Postal: School of Economics and Finance, University of St. Andrews, Fife KY16 9AL|
Phone: 01334 462420
Fax: 01334 462444
Web page: http://www.st-andrews.ac.uk/economics/
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Baker, Michael & Melino, Angelo, 2000.
"Duration dependence and nonparametric heterogeneity: A Monte Carlo study,"
Journal of Econometrics,
Elsevier, vol. 96(2), pages 357-393, June.
- Michael Baker & Angelo Melino, 1999. "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study," Working Papers melino-99-01, University of Toronto, Department of Economics.
- Torben Martinussen, 2002. "Efficient Estimation of Fixed and Time-varying Covariate Effects in Multiplicative Intensity Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(1), pages 57-74.
- McCall, Brian P., 1996. "The Identifiability of the Mixed Proportional Hazards Model with Time-Varying Coefficients," Econometric Theory, Cambridge University Press, vol. 12(04), pages 733-738, October.
- Arnab Bhattacharjee, 2008. "Partial Orders with Respect to Continuous Covariates and Tests for the Proportional Hazards Model," Discussion Paper Series, Department of Economics 200807, Department of Economics, University of St. Andrews.
- Heckman, James J. & Singer, Burton, 1984. "Econometric duration analysis," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 63-132.
- Bhattacharjee, A., 2003.
"Estimation in Hazard Regression Models under Ordered Departures from Proportionality,"
Cambridge Working Papers in Economics
0337, Faculty of Economics, University of Cambridge.
- Bhattacharjee, Arnab, 2004. "Estimation in hazard regression models under ordered departures from proportionality," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 517-536, October.
- Horowitz, Joel L, 1996. "Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable," Econometrica, Econometric Society, vol. 64(1), pages 103-37, January.
- Arnab Bhattacharjee & Chris Higson & Sean Holly & Paul Kattuman, 2007. "Macroeconomic Conditions and Business Exit: Determinants of Failures and Acquisitions of UK Firms," CDMA Working Paper Series 200713, Centre for Dynamic Macroeconomic Analysis.
- Han, Aaron K., 1987. "Non-parametric analysis of a generalized regression model : The maximum rank correlation estimator," Journal of Econometrics, Elsevier, vol. 35(2-3), pages 303-316, July.
- Sherman, Robert P, 1993. "The Limiting Distribution of the Maximum Rank Correlation Estimator," Econometrica, Econometric Society, vol. 61(1), pages 123-37, January.
- Liu, P. Y. & Wei Yann Tsai, 1999. "A modified logrank test for censored survival data under order restrictions," Statistics & Probability Letters, Elsevier, vol. 41(1), pages 57-63, January.
- Thomas H. Scheike & Torben Martinussen, 2004. "On Estimation and Tests of Time-Varying Effects in the Proportional Hazards Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 31(1), pages 51-62.
- Murphy, S. A. & Sen, P. K., 1991. "Time-dependent coefficients in a Cox-type regression model," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 153-180, October.
- Gorgens, Tue & Horowitz, Joel L., 1999.
"Semiparametric estimation of a censored regression model with an unknown transformation of the dependent variable,"
Journal of Econometrics,
Elsevier, vol. 90(2), pages 155-191, June.
- Tue Gorgens & Joel L. Horowitz, 1996. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Econometrics 9603001, EconWPA.
- Horowitz, J. & Gorgens, T., 1995. "Semiparametric Estimation of a Censored Regression Model with an Unknown Transformation of the Dependent Variable," Working Papers 95-15, University of Iowa, Department of Economics.
- Joel L. Horowitz, 1999. "Semiparametric Estimation of a Proportional Hazard Model with Unobserved Heterogeneity," Econometrica, Econometric Society, vol. 67(5), pages 1001-1028, September.
- Jenkins, Stephen P, 1995. "Easy Estimation Methods for Discrete-Time Duration Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(1), pages 129-38, February.
When requesting a correction, please mention this item's handle: RePEc:san:wpecon:0904. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (the School of Economics)
If references are entirely missing, you can add them using this form.