Re: st: Constraints in stcox

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 10:47 AM 1/19/2006, Benjamin M. Craig, Ph.D. wrote:
> Stata 9.0 allows constraints in the clogit, but what about stcox? It 
> would seem to be natural to have a constraint option for stcox too, 
> but I have not found one. Has anyone else?
>
> This addition would also allow rologit to have a constraint option.
Stata's Maximum Likelihood book, 3rd edition, includes various 
programs that support the constraints option.  One of them is mycox, 
for Cox proportional hazards models.  You can get the programs at

http://www.stata-press.com/data/ml3.html

These routines tend to be less feature rich, and I suspect slower, 
than their official Stata counterparts.  But, if the main thing you 
are interested in is the ability to impose constraints, this may do.

As to why more Stata commands do not support constraints - i don't 
know.  I do know that if you write a program using the -ml- command, 
it is easy to add support for constraints.  Maybe it is harder to do 
so when writing programs in C or whatever it is that Stata uses.

You might also want to take a look at Jeroen Weesie's -linest- 
program.  Its description says "linest imposes linear constraints on 
the last estimation results. This two-stage estimator is 
asymptotically equivalent to the "true" one-stage constrained 
estimator."  It is not as good as having support for constraints 
built directly into the command, but it is probably the next best thing.

As a sidelight, my gologit2 and oglm commands aren't the fastest 
programs in the world, but they do allow you to impose linear 
constraints.  That may make them an attractive alternative to logit, 
ologit, probit and ologit in some situations.  Not stcox though - sorry.



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