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I have survival times and fixed baseline values of biomarkers and risk factors ( I actually have them measured longitudinally but want to deal with the baseline values first).

I'd like to (ideally using SAS/PHREG) estimate my Cox PH model with the baseline variables in a (2/3 of data) training subset and assess their predictive value by the area under a time-dependent ROC curve (as developed by Dr Heagerty) in the separate test 1/3 of the data subset. My belief is that I just need to output the linear predictor or predictions from the Cox model that uses the training data and then feed those predictors as a single variable into a Cox model that outputs the AUROC of the time-dependent ROC curve/s.

I wondered if this was a valid approach ? many thanks

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