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Re: st: stcox in case the ph-assumption is rejected

From   Maarten Buis <>
Subject   Re: st: stcox in case the ph-assumption is rejected
Date   Fri, 6 Jan 2012 13:54:12 +0100

> On Fri, Jan 6, 2012 at 10:06 AM, Yuval Arbel <> wrote:
>> My first question is whether this discussion [of the proportional hazard assumption, MB] is relevant if I am
>> applying the Cox model to describe the exercise of call (real) options
>> to purchase appartments.
>> My second question is <snip>: is there any command to incorporate the -stcox- with
>> varying hazard level across time? I'm aware of the -strata()- option,
>> but I wonder whether I can somehow account for time-varying covariates
>> and incorporate it with -stcox-

On Fri, Jan 6, 2012 at 9:33 AM, Yuval Arbel wrote:
> Note also that in the medical context, the treatment - is a binary
> variable, which equals 1 for the experimental treatment and 0
> otherwise.
> In our context - the variable of interest is the reduction rate in
> percentage points - where this variable is quantitative.

The proportional hazard assumption is required for Cox regression
regardless of whether you are dealing with medical or economic data,
the variables are binary or (pseudo-)continuous, or you have
experimental or observational data.

I gave an example on how to estimate and interpret a Cox model in
which you relax the proportional hazard assumption by allowing the
effect to change over time here:

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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