7 - Inclusion of Time-Varying Covariates

Summary

One of the strengths of the event history model over the traditional regression model is the ability of the event history model to account for covariates that change values across the span of the observation period. In principle, inclusion of TVCs in the event history model is straightforward. However, the use of TVCs can raise special problems, both substantively and statistically, for event history analysis. And while these problems are not exclusive to duration models, the problems sometimes manifest themselves differently in the context of duration analysis. In this chapter, we consider some of these problems and note that the “solutions” to these problems are in large part theoretical, and not statistical. Additionally, we illustrate how TVCs can be readily included in each of the models discussed to this point.

Incorporating Exogenous TVCs into the Duration Model

Several researchers have variously categorized the different kinds of TVCs used in event history analysis. Kalbfleisch and Prentice (1980) provide the most thorough and widely used categorization scheme. They distinguish TVCs as either being external or internal. Further, they subcategorize external covariates as being “fixed,” “defined,” or “ancillary” (Kalbfleisch and Prentice 1980, 123). A fixed external covariate is equivalent to a time-independent covariate; i.e., one having values that are known in advance and do not change over the course of the study. Defined covariates have values that can change over time, but the time path is known in advance.