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st: Duration models (STREG ): Need help


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. Iím 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 didnít 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 Iím 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, thatís 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.

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