A Generalized Moments Specification Test of the Proportional Hazards Model
作者:
JoelL. Horowitz,
GeorgeR. Neumann,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1992)
卷期:
Volume 87,
issue 417
页码: 234-240
ISSN:0162-1459
年代: 1992
DOI:10.1080/01621459.1992.10475197
出版商: Taylor & Francis Group
关键词: Accelerated failure time model;Semiparametric estimation;Specification testing;Survival analysis
数据来源: Taylor
摘要:
This article describes a generalized moments specification test of the semiparametric proportional hazards model of Cox. In contrast to other specification tests for this model, the generalized moments test is applicable in the presence of continuous explanatory variables and does not require assigning the data to predetermined cells. The results of a Monte Carlo investigation suggest that the generalized moments test has good finite-sample properties and that it is more powerful than other available tests for models with continuous explanatory variables when the alternative is an accelerated failure time model. The test is based on generalized residuals for the proportional hazards model. When the model is correct, the generalized residuals have asymptotically the (possibly censored) unit exponential distribution. The generalized moments are means of functions of the generalized residuals. The generalized moments have known values when the generalized residuals have the unit exponential distribution, and an asymptoticχ2statistic tests for whether the differences between sample analogs of the generalized moments and the known values are larger than can be explained by random sampling errors.
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