Ricardo Ovaldia <[email protected]> writes:
> I am confused about the behavior of -cox,tvc()- when testing the PH
> assumption in Cox regression.
> I assumed that -tcv()- was simply creating an interaction term between the
> covariate and time (_t, by default). Which is how I understood the
> assumption was ben tested. However, when I do this manualy I get very
> different results.
> Here is an example using the cancer data:
> sysuse cancer, clear
> stset studytime, f( died)
> gen d=0
> replace d=1 if drug>1
> gen dt=d*_t
> stcox d, tvc(d) nolog
> stcox dt, nolog
> What I am doing wrong?
Ricardo is correct that option -tvc()- works by creating time interactions.
The problem, however, is that his generated variable -dt- is not "time
varying", but instead equal to d*_t with _t held fixed at the time the record
ended and the subject exited the study.
To reproduce what -tvc()- does you need to produce true time-varying
covariates, and the only way to do that is to have multiple records per
subject. Even though we want a covariate to vary continuously with time, we
only need to evaluate at times when observations actually fail. That's all
that -stcox- cares about anyway.
-ststplit- has the option -at(failures)- for doing just that.
. sysuse cancer, clear
. gen id = _n
. stset studytime, f(died) id(id)
. stsplit, at(failures)
. gen d = 0
. replace d = 1 if drug > 1
. gen dt = d*_t
. stcox d, tvc(d) nolog
. stcox d dt, nolog
--Bobby
[email protected]
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