Recently, regression analysis of the cumulative incidence function has gained interest in competing risks data analysis, through the model proposed by Fine and Gray (JASA 1999; 94: 496-509). In this note, we point out that inclusion of time-dependent covariates in this model can lead to serious bias. We illustrate the problems arising in such a context, using bone marrow transplant data as a working example and numerical simulations. Practical advices are given, preventing the misuse of this model.
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