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st: stcox with shared frailty: curse of dimensionality?
I tried to estimate a cox model with shared frailty. The number of
groups is greater than 100.000. Such specification does not run
(matsize too small is the error message). However, everything goes
alright if I use streg with shared frailty.
From the manual I couldn't go very far on this issue - I suppose that
if we can retrieve estimates of the log frailties, they are being
stored in memory. Consequently, the matsize problem appears. If this
is the correct argument, I don't understand why such estimates are
being stored in stcox and not in streg (because in both of them a
parametric distribution is assumed for the frailties).
I wonder if someone can give me some hints on this particular issue
(or/and references on how it is being dealt with in Stata)
I've searched the statalist archive and the closest post I could find
to my problem was the following:
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