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st: -stset- with stock-sampling, frailty and TVC


From   Antoine Terracol <Antoine.Terracol@univ-paris1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: -stset- with stock-sampling, frailty and TVC
Date   Mon, 06 Jul 2009 14:52:36 +0200

Dear _all,

Suppose I have a stock-sample of duration data where I happen to know the values of the covariates before the first observation of the individuals (because of a retrospective questionnaire, for example).

A typical individual might look like:

id   x    time  fail  tstock
1    1    1.5    0     2
1    2    2.5    0     2
1    3    4      1     2

I am interested in estimating a parametric model with frailty.

What would be the correct way to -stset- my data so that Stata uses the path of the covariates before the sampling date?

if I specify

. stset time, id(id) fail(fail) enter(tstock)

Stata will discard the first row of the individual in the above example (_st will be 0).

In a model without frailty, this would not matter since the sub-survival functions between 0 and enter() disappear from the likelihood.

With frailty, however, this is not true since we deal with the ratio of unconditional survival functions (integrated w.r.t the distribution of the frailty). Using the above -stset- command, we in fact assume that the covariate is constant from time 0 to the first observed value with date>=enter()

Does anyone know how to correctly -stset- my data?

Best,
Antoine


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