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st: RE: RE: simulate


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: simulate
Date   Fri, 4 Sep 2009 16:44:27 +0100

That's helpful. 

Nick 
n.j.cox@durham.ac.uk 


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: 04 September 2009 16:24
To: stata list
Subject: st: RE: simulate

--- 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).


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