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Re: st: RE: r2 in -streg-/-stcox-


From   Nishant Dass <nishant_dass@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: r2 in -streg-/-stcox-
Date   Fri, 6 Oct 2006 04:13:27 -0700 (PDT)

Dear Nick,

Thanks for your comments.  I understand your point about
the fascination with a single goodness-of-fit measure but I
was simply puzzled by why Stata reports the Pseudo R-sq in
one case and not the other (i.e., -streg- and -stcox-), and
likewise for the p-value of Wald chi-2.  

But nonetheless, it's interesting to read your comments;
since I am not an expert in econometrics (or should I say
statistics?), I find none of these discussions useless.  

Nishant 


--- Nick Cox <n.j.cox@durham.ac.uk> wrote:

> On survival models, others can help much better than I. 
> 
> When R-squared is mentioned, I reach for my prejudices. 
> The first thing to do is 
> 
> . search rsquared, faq
> 
> for all kinds of (indirectly) relevant discussion. 
> 
> In a nutshell, there is no such thing as "the R-squared".
> 
> Some commands calculate measures that are, or are 
> analogous to, a squared correlation between observed and 
> fitted (predicted). Some commands calculate measures
> that are based on a comparison of likelihoods. Other
> commands calculate neither. Some of these measures 
> are honestly labelled "pseudo", although why such 
> measures should be taken seriously is often unclear. 
> The desire to encapsulate all the merits and demerits
> of a model in a single measure really is rather
> primitive, 
> although most of us cannot resist most of the time. 
> 
> Depending on what the problem is, two sets of estimates
> can be compared directly, via some simple plot or by
> looking at differences, ratios, etc. 
> 
> Nick 
> n.j.cox@durham.ac.uk 
> 
> Nishant Dass
>  
> > I want to estimate a hazard-rate model and I would like
> to
> > compare estimates from -streg- with those from -stcox-,
> > however, I am puzzled as to why -streg- and -stcox-
> report
> > different statistics for the overall fit of the model
> (I
> > used -ereturn list to check this). 
> > 
> > More specifically:
> >                       streg          stcox
> > R-squared             NO             YES
> > Wald chi-2            YES            YES
> > p-value for Wald      YES            NO
> > 
> > So, my question is:  is there a specific reason why the
> > R-squared is reported in -streg-?  (While I can
> calculate
> > the p-value of Wald test for the dozens of Cox
> > proportional-hazard regressions I have, it would have
> been
> > easier if I could just -outreg- it so I also wonder why
> is
> > the p-value not reported for -stcox-.)  
> > 
> > If anyone has a clue, could you please tell me?  Thank
> you.
> 
> *
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> 


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