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From |
"Oleksandr Nikolsko-Rzehvskyy" <nrzhevskyy@ukr.net> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Duration models (STREG ): Need help |

Date |
Mon, 17 Feb 2003 13:53:15 +0200 |

Dear all, If you can, please, help me. I’m going to investigate banks' failure (in Ukraine) using duration analysis (with time varying covariates). What data I have: Quartile data on banks' population, with various characteristics of each bank. I know when a bank enters (ENTER=1) my sample, and when it leaves (FAIL=1) it. I defined the following vars: 1. TIME, (0..15). Describes a period of time when an observation takes place. 2. ENTER, 1 if a banks enters the sample this period. However, I didn’t set (maybe, mistakenly) ENTER=1 for the first period (TIME=1), and set ENTER=1 only when a bank enters a sample in TIME>1 3. FAIL, 1 if it went bankrupt that period 4. bank's ID and other characteristics What have I done: i. declared the data as duration: stset TIME, failure(FAIL) id(ID) enter(ENTER) ii. and estimated this model in this way: streg X Y Z, dist(LOGLOGISTIC) Question: 1. Unfortunately, I have no help on STATA (only help-file with syntax description), and I am not sure that I’m estimating what I would like to. If it possible, could you please tell whether I am right, and if not - suggest another way to investigate the data I have (but using duration models). 2. Also, I hope that STREG reports coefficients which influence hazard ratio (not duration time), and "+" just means that that variable influence positively the prob of failure. Is this true? And what's on earth this "Gamma" (and "1/ln_Gamma") at the bottom of the table? Does a negative sign before Gamma change the meaning of signs of reported coefficients? (if you know the exact functional form of hazard this model (loglogistic) estimates, with that gammas, etc, I will be really grateful to get it) Thank you in advance, and sorry for stupid questions PS. I am not sure that my Eng is good enough, that’s why I add a tentative structure of my set: id time enter fail some_var ---------------------------------------------------------------------------- bank_1 0 0 0 x bank_2 0 0 0 xx bank_3 0 0 0 x bank_1 1 0 1 xxx bank_2 1 0 0 xx bank_3 1 0 1 xx bank_4 1 1 0 xxx etc. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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