Martingale residual‐based method to control for confounders measured only in a validation sample in time‐to‐event analysis

Unmeasured confounding remains an important problem in observational studies, including pharmacoepidemiological studies of large administrative databases. Several recently developed methods utilize smaller validation samples, with information on additional confounders, to control for confounders unmeasured in the main, larger database. However, up‐to‐date applications of these methods to survival analyses seem to be limited to propensity score calibration, which relies on a strong surrogacy assumption. We propose a new method, specifically designed for time‐to‐event analyses, which uses martingale residuals, in addition to measured covariates, to enhance imputation of the unmeasured confounders in the main database. The method is applicable for analyses with both time‐invariant data and time‐varying exposure/confounders. In simulations, our method consistently eliminated bias because of unmeasured confounding, regardless of surrogacy violation and other relevant design parameters, and almost always yielded lower mean squared errors than other methods applicable for survival analyses, outperforming propensity score calibration in several scenarios. We apply the method to a real‐life pharmacoepidemiological database study of the association between glucocorticoid therapy and risk of type II diabetes mellitus in patients with rheumatoid arthritis, with additional potential confounders available in an external validation sample. Compared with conventional analyses, which adjust only for confounders measured in the main database, our estimates suggest a considerably weaker association. Copyright © 2016 John Wiley & Sons, Ltd.