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st: RE: simulate


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   stata list <statalist@hsphsun2.harvard.edu>
Subject   st: RE: simulate
Date   Fri, 4 Sep 2009 15:23:48 +0000 (GMT)

--- Andrzej Niemierko wrote:
> > I am trying to validate my logistic regression model by calculating a
> > distribution of area under the ROC curve for bootstrap samples of my
> > original data.

--- Nick Cox wrote:
> Let's take this step by step: 
> 
> 1. If you want a new ROC area for each new bootstrap sample that you
> draw, you can only do that after the sample is drawn. 
>
> 2. That must therefore be done within your program, and all under the
> aegis of -simulate-. 
> 
> Thus -mysim- must call -logistic-. 

I think the key word in Andrzej question is "validate". In some areas 
this term means estimate a model in a sample, compute a fit statistic 
of that model in (many) alternative sample, and use these fit statistics
as a measure of fit. If I remember correctly this is supposed to protect
against overfitting or capitalizing on chance: You are trying to look at 
how well the model generalizes to other populations. I (barely) know of 
its existence, so I can't comment on its merrit, but this would seem to 
me to make Andrzej request reasonable (and I gave a sugestion on how to 
do it in an earlier post).

Hope this helps,
Maarten 

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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