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This paper concerns using modified weighted Schoenfeld residuals to test the proportionality of subdistribution hazards for the Fine-Gray model, similar to the tests proposed by Grambsch and Therneau for independently censored data. We develop a score test for the time-varying coefficients based on the modified Schoenfeld residuals derived assuming a certain form of non-proportionality. The methods perform well in simulations and a real data analysis of breast cancer data, where the treatment effect exhibits non-proportional hazards.
Zhou et al. (2013) studied this question.