Testing the proportional hazards assumption in the presence of unmeasured heterogeneity
存在未观测异质性时的比例风险假设检验
Abstract This paper develops a discrete‐time hazard model which accounts for unmeasured hetergeneity while allowing the coefficients of the regressors to vary over time. Sufficient conditions for nonparametric identifiability of the unmeasured heterogeneity distribution are derived. Testing for time‐varying coefficients in this model is, under suitable conditions, equivalent to testing the proportionality assumption of the underlying continuous‐time hazard model. Some Monte…