[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Jenkins S P <stephenj@essex.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Difficult ML |

Date |
Tue, 2 Mar 2004 08:52:39 +0000 (GMT) |

On Mon, 1 Mar 2004, miguel foguel wrote: > Dear all, > > I'm trying to estimate a competing risks model (2 risks) based on a MPH > specification for each risk. Time is discrete and the observation window is > 13 months. The baseline hazards are assumed piece-wise constant, so there > are 13 parameters for each risk. The systematic part is modelled as exp(.), > and each risk has its own continuous covariate (cov1 and cov2, > respectively). As for the joint distribution of the unobservables I'm > assuming two points of support for each unobservable, which gives 7 extra > parameters to estimated (4 points of support + 3 probabilities). In fact, > the probabilities have been transformed into a multinomial framework (see > program below). > > I'm using -ml- routine with method d0. The problem is that maximization is > converging to a flat part of the LF. I have used -ml check- and -ml search-, > and also tried interactivelly several different initial values. From -ml > plot- I noticed that the parameters of the 13th dummy associated with the > piece-wise baseline hazard for each risk become flat very quickly and stay > there for all values I experimented with. I then normalized those > parameters to be zero because I guessed that there may be a 'collinearity' > problem with the means of the unobservables. > > Below there is copy of the code I'm using to estimate the model (For > readability I'm also attaching the code in a txt file). There are 3 ... snip ... I would try and get the program to work with a parametric specification of the baseline hazards before considering the non-parametric baseline case; that way you can more easily see whether your problem is one with the programming per se or with the data. (With regard to the problem you mentioned have you tabulated each event variable against survival time, and checked that you have events of each type in each and every interval? If you don't have events thus, then you'll need to modify your piecewise chunks, or move to a more parametric specification.) A more substantial comment on the program is that you appear to be specifying the baseline hazard parameters outside the "b" parameter vectors. Moreover in your -ml model- statement I see no equations for the covariates (i.e. the "X_it" rather than the baseline hazard ones): you appear to have them as scalars at the end of the statement. I expected to see 2 /equations/ specified, one for each risk, and the scalars (incidental parameters) would refer only to mass points and their probabilities. With the equations specified, the dummy variables that are used to specify the baseline hazard would simply appear as explanatory variables in the equations (in addition to the X_it). Doing things this way, also makes it very easy to try a more parametric specification (you could replace the set of d.v.s with log(time), say). I would also update the version in your code from 8.0 to the latest (8.2), as some very useful features have been added to -ml- since 8.0. If you can get access to it, have a look at Gould and others (2003), /Maximum Likelihood Estimation with Stata/, second edition. I find it, and the first edition, of great use for complex -ml- problems. And yours is definitely quite complex. [I would be interested to see a copy once you have got it working.] Good luck! Stephen ============================================= Professor Stephen P. Jenkins <stephenj@essex.ac.uk> Institute for Social and Economic Research (ISER) University of Essex, Colchester CO4 3SQ, UK Phone: +44 1206 873374. Fax: +44 1206 873151. http://www.iser.essex.ac.uk * * 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/

**References**:**st: Difficult ML***From:*"miguel foguel" <m_foguel@hotmail.com>

- Prev by Date:
**Re: st: Multiple imputation** - Next by Date:
**Re: st: maybestupid** - Previous by thread:
**st: Difficult ML** - Next by thread:
**st: RE: legend in -twoway line-** - Index(es):

© Copyright 1996–2017 StataCorp LLC | Terms of use | Privacy | Contact us | What's new | Site index |