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Testing for a Time Dependent Coefficient in Cox's Regression Model

S. A. Murphy
Scandinavian Journal of Statistics
Vol. 20, No. 1 (1993), pp. 35-50
Stable URL: http://www.jstor.org/stable/4616258
Page Count: 16
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Testing for a Time Dependent Coefficient in Cox's Regression Model
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Abstract

This paper discusses a commonly used test to detect a nonproportional hazard. The test can be viewed as an example of the method of sieves approach to hypothesis testing. In this framework the test can be shown to be consistent against a wide class of alternatives to proportional hazards. However there is a price exacted for such consistency. This price is that the test can not detect local alternatives of order one over the square root of the sample size.

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