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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: Help for survial analysis,21st Aug |

Date |
Tue, 21 Aug 2007 10:28:29 +0100 (BST) |

--- khan ali <economichust@yahoo.com> wrote: > They contend that if prices contain bubbles, then > runs of positive returns will exhibit negative > duration dependence, i.e., an inverse relation exists > between the probability of a run ending and the length > of the run. They adopted log-logistic model for > testing the null hypothesis of no rational bubbles. > The null hypothesis of no bubbles implies that the > probability of a run ending is independent of the > prior returns or that the returns are random.In terms > of the model, the null hypothesis of no duration > dependence is that slope(beta=0). The hazard will decline as time passes in a log-logistic, that is not an empirical finding, it is just an assumption you have made that is implicit in the log-logistic. If you want to test for negative duration dependence you can either go for a Weibull or a Gompertz. In case of a Weibull you are testing whether p < 1, and in case of the Gompertz you are testing whether gamma < 0. See the example below and page 10 and 11 of http://home.fsw.vu.nl/m.buis/wp/survival.html . This test is however problematic as any variation not captured by covariates tend to induce negative duration dependence, see page 18-21 of http://home.fsw.vu.nl/m.buis/wp/survival.html . So if you find negative duration dependence it could just as well be the result of variotion between individuals not captured by covariates. *--------- begin example ------------- sysuse cancer, clear stset studytime, failure(died) xi: streg i.drug age, distribution(loglogistic) stcurve, hazard xi: streg i.drug age, distribution(gompertz) stcurve, hazard xi: streg i.drug age, distribution(weibull) stcurve, hazard *---------- end example -------------- (For more on how to use examples I sent to the Statalist, see http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html ) Hope this helps, Maarten ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- ___________________________________________________________ Want ideas for reducing your carbon footprint? Visit Yahoo! For Good http://uk.promotions.yahoo.com/forgood/environment.html * * 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: Re: Help for survial analysis,21st Aug***From:*khan ali <economichust@yahoo.com>

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