Time fixed effects in Cox proportional hazards model

[Wani Zhang]

Hi, I was wondering if it's possible to include year fixed effects in a Cox proportional hazards model with time-dependent covariates using an individual-year panel dataset?

[Carlo Lazzaro]

Wani:
what do you mean by "an individual-year panel dataset"?

[Wani Zhang]

Hi Carlo, I mean that there are multiple observations across years per individual and I want to use each year/row as an interval

[Carlo Lazzaro]

Wany:
yes, you can add -i.year- in the right hand-side of your -stcox- regression.

[Stephen Jenkins]

If each year is the interval of time, shouldn't one use an interval-censored model (-stintcox-, for example)? Moreover, before rushing to include 'year' (an indicator of calendar time) as a covariate, checking that 'year' is not collinear with elapsed duration (or other covariates that are time dependent, by which I mean calendar time or duration time dependent)

[Wani Zhang]

Hi Carlo and Stephen, thank you both for your responses. I have a variable that represents the number of days until the event, but the data is updated every year so I assumed I would use yearly intervals. I'm not entirely sure how to approach this.

[Tina Thomas]

Hi if i could continue this conversation. I am analyzing the impact of factors on the time to acquisition decision of firms, the time taken by firms since the start of reforms in a calendar year say 2000 to make an acquisition decision. I am also struggling with including Year dummies in the my cox proportional hazards model as Stata stops the analysis upon inclusion of time dummies. As mentioned By Stephen, the problem seems to be that calendar year is collinear with time elapsed or the duration of the event. Please suggest if I can use cox proportional hazards model in this case without incorporating time dummies. What could be some alternate methods?