The PHREG procedure now provides the competing risk model of Fine and Gray (1999) when you specify the EVENTCODE= option in the MODEL statement. The EV option in the PROC PHREG statement requests the Schemper and Henderson (2000) measure of explained variation. The ZPH option requests a test of nonproportional hazards based on the scaled Schoenfeld residuals; in addition, a plot of the time-varying coefficients is displayed with a smooth curve for each predictor.