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resultset
2006 Oct 23
0
Construction of Dataset for time varying COXPH analysis
...of distinct loans in the dataset used.
I am trying to estimate a Cox proportional hazards model for a set of loans (over 6000) using using time varying covariates. For this 6000+ loans, I have some 62,000 different vectors representing the loans at different periods of time. I did the following:
resultsOpt <- coxph(Surv(Start,Stop,PrepayDate)~ closingCoupon + loanPurposeId, data=latest)
which returned:
Call:
coxph(formula = Surv(Start, Stop, PrepayDate) ~ closingCoupon +
loanPurposeId, data = latest)
coef exp(coef) se(coef) z p
closingCoupon 0.101 1.11 0.027...