1 Introduction
The proportional hazards (PH) assumption is synonymous with the Cox model. This assumption states that any covariate’s effect is unconditional on t, the duration. The Cox model incorporates covariates by permitting them to have a multiplicative (rather than additive) effect on the baseline hazard, h 0(t), which represents the underlying rate at which the event occurs as a function of t when all the substantive covariates are set to 0. As a consequence of this functional form, an assumption about x’s effect being unconditional on t in a Cox model setting implies the covariate’s effect must be proportional across time: a one-unit increase in x will always enlarge or shrink the baseline hazard by the same scaling factor, regardless of t value. As with any regression model, treating x’s effect as unconditional when it is not is a form of misspecification bias. Estimates will be inefficient at best and biased at worst (Keele Reference Keele2010, 194). Furthermore, because the Cox model employs a non-linear transformation of the covariates and their estimates, this inefficiency and/or bias has the potential to affect any estimate, not just the violating covariate (Keele Reference Keele2008, 6).
Given the ramifications of violating the PH assumption, scholars have developed ways to test for violations. The most widely used test in political science comes from Grambsch and Therneau (Reference Grambsch and Therneau1994). This test involves Schoenfeld residuals, a special type of covariate-specific residual unique to the Cox model. In effect, Grambsch and Therneau’s test checks for a correlation between the values of (a scaled version of) a covariate’s Schoenfeld residual and some function of time, g(t). If a non-zero correlation exists, we interpret it as suggestive evidence of a PH violation for the residuals’ corresponding covariate. The test is formally articulated as a variant of a score test. Traditionally, the R, Python, and Stata routines for the Schoenfeld-based test (hereafter, “PH test”) have used an approximation of Grambsch and Therneau’s formal score test for speed reasons (Therneau and Grambsch Reference Therneau and Grambsch2000, 132 [formal], 134 [approximation]).Footnote 1
Over the past decade or so, our awareness of the Schoenfeld-based test’s properties has grown. In particular, Keele (Reference Keele2010) reemphasizes one of Therneau and Grambsch’s points (Reference Therneau and Grambsch2000, Sec. 6.6): the PH test checks for any evidence of nonproportionality, and time-varying covariate effects are not the only way nonproportionality can arise. The implication is the PH test can return false positives, in the sense of researchers incorrectly concluding a covariate’s effect is time varying, in the presence of omitted relevant covariates (e.g., interactive effects) or misspecified covariate functional forms. Keele argues this point is underappreciated, and provides two simulated datasets to illustrate how severely the PH test’s performance can be impacted in the presence of such model misspecification. His simulated datasets and applied examples give the overall impression that these false positives happen with some degree of regularity.
However, in the time since Keele’s (Reference Keele2010) writing, how some programs compute the PH test has changed. Specifically, R’s PH test routine no longer uses a quick approximation of Grambsch and Therneau’s test, but calculates the actual test, in full, starting with survival 3.0-10 (8/2019Footnote 2 ). Metzger and Jones’ (Reference Metzger and Jones2019) supplemental simulation results suggest there are performance differences between the approximation and the actual test calculations, in some contexts. It is possible, then, that these performance differences may extend to other PH-specification-related issues, including those highlighted by Keele.
This note evaluates the PH test’s performance in practice by running proper Monte Carlo simulations using the new PH test routines on Keele’s original data-generating processes (DGPs). I do find that the new routines outperform the old routines in a greater number of situations, suggesting they may be less sensitive to misspecified covariate functional forms or omitted covariates. However, for some small tweaks to Keele’s original DGPs, I also find no evidence of the ubiquitous poor PH test performance generally associated with Keele (Reference Keele2010), for both the old and new test routines—a qualifier still relevant for Stata and Python users.
The major implications are twofold. First, my results imply the PH test, in general, may be less sensitive to returning false positives in the presence of model misspecification than some practitioners might think after reading Keele (Reference Keele2010). Second, they imply that we should more thoroughly investigate the extent to which the test’s analytic, misspecification-related properties may affect PH-related inference in practice, while being mindful that these conclusions may be calculation specific. I proceed by describing the setup for the Monte Carlos, discussing the simulation results, and then conclude with some summarizing remarks.
2 Simulation Setup
I replicate Keele’s two examples from his Section 2.1 as closely as possible (Table 1).Footnote 3 , Footnote 4 The true DGPs are exponential hazard functions with two uncorrelated covariates. One of the covariates is continuous; the other is binary. The first example’s DGP involves a quadratic term for the continuous covariate, while the other example has an interaction between the binary and continuous covariate. Both of Keele’s examples use the binary covariate as the PH violator, with ln(t) serving as time’s functional form for the violation.Footnote 5
Table 1 Simulated data: setup details.
I use the simsurv package to generate the simulated duration data (Brilleman et al. Reference Brilleman, Wolfe, Moreno-Betancur and Crowther2021), allowing me to exploit its routines for permitting covariates with time-varying effects. I run 10,000 simulations per DGP because of my interest in the PH test’s p-values. The reported results use successfully converged draws only, noted at the bottom of each graph.
3 Simulation Results
I report my simulation results as a series of binned scatterplots (Figure 1) for every scenario–PH calculation combination. Each individual bin contains up to 10,000 points, jittered horizontally for visibility, representing a covariate’s PH test p-values from each simulation draw, of which there are 10,000, at most.Footnote 7 The vertical axis represents the PH test’s p-value. The horizontal dashed lines denote the bin’s mean p-value; the thinner horizontal solid lines, its 2.5th/97.5th percentiles. The dashed lines are comparable to Keele’s output (Reference Keele2010, Table 1), which reports each covariate’s PH test p-value from a single simulation draw.
Figure 1 Scenario 1 simulations.
Each covariate has a pair of bins, corresponding to the two model specifications I check. The specifications represent the first model we would estimate in an analysis—i.e., the model we would use to diagnose potential PH violations. Accordingly, these models do not include any PH-violation corrections. The pair’s first bin (light gray bar) represents the incorrect base specification in which
${x}_1$
’s functional form is misspecified. Depending on the scenario, the base specification lacks either an
${x}_1^2$
term (Sc. 1) or an
${x}_1{x}_2$
interaction term (Sc. 2). The second bin (dark gray bar) represents the correct base specification—it includes the appropriate additional x
1 term for the scenario in question. The final pair of bins in each scatterplot corresponds to the joint hypothesis test for any PH violations in the model (global test). Recall that PH test p-values below 0.05 are suggestive of a PH violation.
If Keele’s findings from the approximation hold for the actual test, we should make erroneous conclusions about whether a covariate violates PH for the wrong base specification, but correct conclusions for the correct base specification (Table 2).
Table 2 Expectations based on Keele (Reference Keele2010).
3.1. Scenario 1
Figure 1 provides information about Scenario 1 for the approximated PH test (panel (a))Footnote 8 and the actual PH test (panel (b)). Starting with the approximation (Figure 1a), the results are somewhat consistent with Keele’s original findings. First, counter to Keele’s illustrative example, the PH test never returns an on-average false positive for non-violator x 1 (average ≰ 0.05; first set of bars, dashed line), regardless of specification (Keele’s Table 1, top portion). However, x 1’s false positive rate under the misspecified base model does surpass the usual 5% threshold (light gray bar; 51.7%)—we detect violations far more frequently than we should—consistent with the implications of Keele’s results.
Once the model’s base specification is correct (dark gray bar), the PH test’s performance for x 1 improves drastically. x 1’s average p-value is 41 percentage points higher (0.14 vs. 0.55), meaning fewer simulation draws return incorrect evidence of x 1 being a PH violator. Additionally, x 1’s false positive rate drops below 5% (2.24%). The PH test’s poor performance for non-PH violators in the misspecified base model, but vastly improved performance in the correctly specified base model, matches Keele’s original findings.
Second, the PH test is more than adequately powered for PH violators.Footnote 9 We detect x 2’s PH violation (third set of bars) ~98% of the time, exceeding our 80% rule of thumb. Notably, this is true regardless of base model specification. As before, these results comport with Keele’s Table 1, where he reports the PH test has no issues detecting violations for true PH-violating covariates, regardless of specification.
However, these patterns change once we use the updated PH test procedure to compute Grambsch and Therneau’s actual score test (Figure 1b), in a manner inconsistent with Keele. Specifically, the actual PH test’s performance for x 1 differs dramatically.Footnote 10 Like before, the PH test never returns an on-average false positive for x 1. The difference between the incorrect vs. correct base specification’s average p-value, though, is considerably smaller (0.50 [incorrect] vs. 0.48 [correct]), suggesting that misspecification has little to do with the PH test’s performance for Sc. 1—a very different conclusion than Keele’s original findings. This statement is further supported by x 1’s false positive rate. The misspecified base model’s rate is 4.7%, but the correctly specified base model’s false positive rate is higher (9.2%), not lower.
3.2. Scenario 2
Figure 2 displays Scenario 2’s simulation results, where the model misspecification is in the form of an omitted x 1 x 2 interaction. Similar to Scenario 1, Scenario 2’s results are starkly different than we would expect, based on Keele’s illustrative example.
Figure 2 Scenario 2 simulations.
For the approximated PH test (Figure 2a), none of Keele’s results replicate:
-
• The PH test’s performance for non-PH-violating x 1 is surprisingly unaffected by misspecification, counter to Keele’s findings. The average p-value is well above 0.05, regardless of the model’s base specification. Additionally, the PH test’s statistical size is >5%, but like the Scenario 1 actual PH test results, the size is worse for the correctly specified base model, not better (5.7% [incorrect] vs. 13.9% [correct]), suggesting misspecification is not at fault.
-
• The PH test’s performance for PH-violator x 2 is affected by misspecification, also counter to Keele’s findings. Exacerbating matters, the correctly specified base model performs far worse than the misspecified base model, with a far higher average p-value (0.34 [correct] vs. 0.02 [incorrect]) and a very underpowered test that falls well short of the 80% rule of thumb (21.3% [correct] vs. 90.1% [incorrect]).
The updated PH test procedure suffers from none of these issues (Figure 2b). We draw the correct conclusions about x 1, by and large, regardless of base model specification. The broad patterns for x 1’s actual PH test average p-value and statistical size are identical to those from Scenario 1’s actual PH test results. In addition, we draw the correct conclusion about x 2. Regardless of the base specification, x 2’s average p-value is always below 0.05 and is always well powered.
3.3. Encore: Original Parameter Values, Tweaked x 1 Distribution
I also investigated what occurs if I use Keele’s original parameter values, but alter the range of x
1’s values (
${x}_1\sim \mathcal{U}\left[0,1\right]$
) (fn. 4). The actual PH test continues to perform just as well as before, further supporting my previous simulation results.Footnote
11
However, the approximated PH test results are surprising and worth mentioning (Supplementary Appendix C, Figures 3a/4a).
For both scenarios, the Supplementary Appendix figures make clear that situations exist in which the approximation has no performance issues, even in the face of model misspecification. The simulated DGPs for Figures 3 and 4 are only slight modifications of Keele’s originals, making the results all the more notable. The major implication is that model misspecification’s deleterious effects on the PH test’s performance may not be as widespread as Keele’s simulations unintentionally suggest, but instead, may have scope conditions. Therneau and Grambsch hint at some possibilities (Reference Therneau and Grambsch2000, Sec. 6.6). Another is the proportion of subjects failing in t ∈ (0,1] (Supplementary Appendix C.II), and another still is the degree of correlation among the covariates. Probing any of these scope conditions more deeply is left to future research. The conditions would only affect practitioners using PH test routines that approximate Grambsch and Therneau’s original test—Stata, lifelines (Python), or <survival 3.0-10 (R). All of my simulation results show that routines calculating the actual PH test (≥survival 3.0-10) are unaffected by model misspecification, at best, or more likely, governed by a different set of scope conditions that future research would need to investigate, at worst.
4 Conclusion
In this note, I used Monte Carlo simulations to reassess Keele’s (Reference Keele2010) illustrative examples regarding the Schoenfeld-based test for PH violations in Cox duration models and its propensity to return false positives in the presence of omitted relevant covariates or misspecified covariate functional forms. I primarily use survival::cox.zph’s recent rewrite, which calculates Grambsch and Therneau’s actual Schoenfeld-based PH test instead of an approximation of it.
If the actual and approximated calculations perform similarly, Keele’s discussion suggests we should (a) erroneously conclude that non-PH-violating covariates are violators, and (b) correctly conclude that PH-violating covariates are violators. My simulation results, which use the same DGPs as Keele, challenge both points. Using the updated PH test calculation, the results are strongly not supportive of (a) and only sometimes supportive of (b). I also run the simulations using the PH test’s traditional approximation-based calculation, where I find evidence sometimes weakly consistent with Keele’s, but sometimes not at all consistent, as discussed at the end of the previous section.
All and all, there are three key takeaways. First, practitioners should potentially consider using the updated PH test procedure if possible, as it is less sensitive than the traditional procedure to the forms of model misspecification and DGPs I check here. However, we know less about the updated PH test’s performance, on the whole. Future work should use a more extensive set of DGPs to investigate the extent to which the updated test’s performance advantage generalizes, allowing practitioners to make better-informed decisions about which procedure to use.
Second, Keele (Reference Keele2010) may have given us a false sense of how frequently the PH test returns false positives in the presence of model misspecification. Unintentionally, his illustrative simulations and three applications create the impression that false positives occur regularly. My full simulations using Keele’s DGPs cast doubt on this point.
Finally, we know model misspecification can affect the PH test’s performance, as Keele (Reference Keele2010) correctly notes. However, we need more information about whether and when it does affect the PH test’s performance, in practice. My simulations also suggest these conditions may differ, depending on the calculation. These scope conditions merit further, future investigation.
Acknowledgments
I thank Janet Box-Steffensmeier, Justin Esarey, and Benjamin Jones for feedback on earlier drafts. Thanks also to Luke Keele for sharing additional replication files from his original analysis. Any mistakes are mine alone.
Data Availability
All analyses run using Stata 17.0 MP6 or R 4.1.0. This article’s replication code has been published through Code Ocean and can be viewed interactively at https://doi.org/10.24433/CO.9885736.v1 (Metzger Reference Metzger2022a). A preservation copy of the same code and data can also be accessed via Dataverse at https://doi.org/10.7910/DVN/ZYOJF6 (Metzger Reference Metzger2022b).
Supplementary Materials
To view supplementary material for this article, please visit http://doi.org/10.1017/pan.2022.13.
Open access
