st: Survival analysis and control variables

["D.W.Richards" <d.w.richards@open.ac.uk>]

Hi All,

This is a longish post so here is summary-  I am interested in control variables in survival analysis with how to identify shared variance.

My research involves survival analysis to analyse whether a stock is held for longer if it is a gain or a loss.  For each stock traded by an investor, I create a time varying variable which indicates whether it trades at a loss or not on each day it is held.   I then interact demographic variables like age, gender, with the loss variable to understand whether the demographic variables reduce the tendency to hold stocks at a loss.  For example, age of the investor holding a stock decreases the survival time of stocks at a loss.  The equation in a Cox model is:

h(t)= ho(t) exp ( LossB1 + lossxageB2 + ageB3) 

where ageB3 is a control variable.  I am most interested in B1 and B2 to assess whether they influence holding of losses.

My next step which I am stuck on is adding further control variables.  For example, age decreases the selling of losses and investor wealth also decreases the selling of losses.  But age is positively correlated with wealth.  I want to discover the effect of age after controlling for wealth.  

How do I go about doing this?  Is there a method or paper you can recommend to identify shared variance of variables in survival analysis?

Thanks in advance and ANY advice is appreciated,

Daniel Richards


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