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Testing Covariate Effects in Aalen’s Linear Hazard Model
Author(s) -
Grønnesby Jon Ketil
Publication year - 1997
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00053
Subject(s) - mathematics , statistics , covariate , variance function , variance (accounting) , linear regression , econometrics , accounting , business
The performance of tests in Aalen’s linear regression model is studied using asymptotic power calculations and stochastic simulation. Aalen’s original least squares test is compared to two modifications: a weighted least squares test with correct weights and a test where the variance is re‐estimated under the null hypothesis. The test with re‐estimated variance provides the highest power of the tests for the setting of this paper, and the gain is substantial for covariates following a skewed distribution like the exponential. It is further shown that Aalen’s choice for weight function with re‐estimated variance is optimal in the one‐parameter case against proportional alternatives.