01-05-2016 04:04 PM
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).