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st: Stcox and quantile regressions


From   mmolina@uniroma3.it
To   statalist@hsphsun2.harvard.edu
Subject   st: Stcox and quantile regressions
Date   Sun, 15 May 2011 11:04:42 +0200 (CEST)

Dear Statalist,

I would need to estimate the growth rates of surviving firms.

After running stcox varlist basehc(hazard) basesurv(survival) vce(robust)
I need to introduce the inverse Mills ratio constructed from the stcox
model in a quantile regression.

Then,

Growth = Xia1 + cov12 Mill's ratio + u

where a1 is the parameter vector from the growth equation,
cov12 is the covariance between the disturbance terms of the survival and
growth equations
Mill's ratio denotes:
c(Xial)/(1-d(Xia1))
where c is the standard normal density function, and d is the standard
normal cumulative distribution function

Will I have problems in identifying this equation as the matrix Xi will
probably not be identical? Should I have other measurement problems?

I am very grateful for your advice.

Thanks a lot

Maria






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