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Time Series MT 2.1
Cox Proportional hazard model
Can anybody tell me where to find a Gauss Code to
1) make a Monte Carlo simulation of a Cox proportional hazards model, event times and covariates;
2) estimate the parameters of $exp(X' \cdot \beta )$;
thanks in advance.
There are no intrinsic GAUSS functions that specifically accomplish what you desire. However, there is GAUSS third party code for estimating Cox proportional hazards models. The code accompanies the text "Statistical Methods for Categorical Data Analysis" by Daniel Powers and Yu Xie (2000). I am not certain that this code addresses your specific needs but it may provide a good starting point.
Though I haven't used the code and cannot speak to its performance, it could at least serve as a useful reference. For further information regarding the code and the models, you may wish to direct specific questions to the authors.
This Cox PH code is available at the site
under the link for Chapter 5.
Thanks for your prompt reply. I really appreciate.