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Cox model with time-dependent variables

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Cox model with time-dependent variables

Hi,

 

I have a question regardning Cox model with time-dependent variables.

 

I have a data set that contains the following variables: 

 

A vector x_it of internal covariantes, with values specific to the firm, as well as a vector z_t of external macroeconomic covariates, with values common to all firms in the sample. I want to use the model

 

lambda_(it) = lambda_0 * exp( beta*x_(it) + gamma * z_(t-1) ) 

 

and then estimate the coefficents (beta, gamma). 

 

My problem is that I don't know how to add the term: gamma*z(t-1), in my SAS Code where I use the procedure PROC PHREG. Currently, I use the programming statement method in order to handle the time dependent covariates x_(it). 

 

Thanks. 

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