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Re: st: stcox in case the ph-assumption is rejected


From   Yuval Arbel <[email protected]>
To   [email protected]
Subject   Re: st: stcox in case the ph-assumption is rejected
Date   Fri, 6 Jan 2012 16:24:48 +0200

I'm refering to my following working paper published at SSRN:

 http://ssrn.com/abstract=1973326

My intentions are only to supplement a footnote and present the
HP-assumption tests in an appendix and not to go further beyond that.
I provide these stratifications as an example. The question is whether
in your opinion this is sufficient - or should I modify all the
outcomes reported in the paper based on the -tvc- option.(On one hand,
I would like to make here a careful econometric work. On the other
hand, I consider whether it worth all the trouble or it might be
sufficient to show that at least one stratification does not reject
the PH-hypothesis)

On Fri, Jan 6, 2012 at 3:46 PM, Maarten Buis <[email protected]> wrote:
> You should use stratification only for those variables you do not care
> about, as after stratification you can no longer include that variable
>  in your model, and thus not show what the effect of that variable is.
> I would not use stratification for (pseudo-)continuous variables,
> because it is an idea that is based on a small set of well defined
> groups (or at least a number of well defined groups with a sufficient
> number of observations in each group). Splitting a pseudo-continuous
> variable at the mean sounds a bit too ad hoc for my taste to classify
> as two well defined groups.
>
> Hope this helps,
> Maarten (not Marteen)
>
> On Fri, Jan 6, 2012 at 2:23 PM, Yuval Arbel wrote:
>> Thanks Marteen - that seems to be very helpful.
>>
>> I also thought about a different solution I would like to consult with
>> you about:
>>
>> For each of the explanatory variables in the regression model I
>> defined a dummy variable which receives 1 for periods whose numerical
>> values are above or equal the sample mean and 0 otherwise. This
>> provides several possible stratifications. I then ran the Cox
>> regression on these dummy variables, where, as mentioned above, each
>> of which provides a different stratification, followed by the
>> PH-assumption test. Now and as we can see from the outcomes below - I
>> can say that the outcomes of the Cox regression is valid only for
>> stratifications where the PH-assumption is valid.
>>
>> Here is the output:
>>
>> . stcox mean_reduct_dum1 reductcurrent_mean_reduct_dum1 rent_net8_dum
>> diff_stdmadadarea_dum diff_mortgage_dum perma
>>> nentincomeestimate82_dum appreciation_dum,nohr
>>
>>         failure _d:  fail == 1
>>   analysis time _t:  time_index
>>                 id:  appt
>>
>> Iteration 0:   log likelihood = -78368.249
>> Iteration 1:   log likelihood = -75173.499
>> Iteration 2:   log likelihood = -75117.414
>> Iteration 3:   log likelihood = -75116.825
>> Iteration 4:   log likelihood = -75116.825
>> Refining estimates:
>> Iteration 0:   log likelihood = -75116.825
>>
>> Cox regression -- Breslow method for ties
>>
>> No. of subjects =         9547                     Number of obs   =    499393
>> No. of failures =         9547
>> Time at risk    =       547035
>>                                                   LR chi2(7)      =   6502.85
>> Log likelihood  =   -75116.825                     Prob > chi2     =    0.0000
>>
>> ------------------------------------------------------------------------------
>>          _t |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>> -------------+----------------------------------------------------------------
>> mean_redu~m1 |   1.160556   .0260155    44.61   0.000     1.109567    1.211546
>> reductcur~m1 |   1.332635   .0276246    48.24   0.000     1.278492    1.386779
>> rent_net8_~m |   .2179676   .0216012    10.09   0.000       .17563    .2603052
>> diff_stdma~m |   .8829475   .0920925     9.59   0.000     .7024495    1.063446
>> diff_mortg~m |   .2271822   .0913231     2.49   0.013     .0481921    .4061722
>> permanenti~m |  -.0774641   .0212722    -3.64   0.000    -.1191569   -.0357713
>> appreciati~m |  -.1104136   .0475282    -2.32   0.020    -.2035672   -.0172601
>> ------------------------------------------------------------------------------
>>
>> . estat phtest,detail
>>
>>      Test of proportional-hazards assumption
>>
>>      Time:  Time
>>      ----------------------------------------------------------------
>>                  |       rho            chi2       df       Prob>chi2
>>      ------------+---------------------------------------------------
>>      mean_redu~m1|     -0.29894       664.62        1         0.0000
>>      reductcur~m1|     -0.01441         2.31        1         0.1283
>>      rent_net8_~m|     -0.01523         2.21        1         0.1374
>>      diff_stdma~m|     -0.01545         0.10        1         0.7516
>>      diff_mortg~m|     -0.14583         6.94        1         0.0084
>>      permanenti~m|      0.06388        39.67        1         0.0000
>>      appreciati~m|      0.04365        17.29        1         0.0000
>>      ------------+---------------------------------------------------
>>      global test |                    758.70        7         0.0000
>>      ----------------------------------------------------------------
>>
>> I wonder what is your opinion. We see here 3 stratifications, which
>> makes the results of the Cox regression valid
>>
>> Thanks, Yuval
>>
>> On Fri, Jan 6, 2012 at 2:54 PM, Maarten Buis <[email protected]> wrote:
>>>> On Fri, Jan 6, 2012 at 10:06 AM, Yuval Arbel <[email protected]> wrote:
>>>>> My first question is whether this discussion [of the proportional hazard assumption, MB] is relevant if I am
>>>>> applying the Cox model to describe the exercise of call (real) options
>>>>> to purchase appartments.
>>>>>
>>>>> My second question is <snip>: is there any command to incorporate the -stcox- with
>>>>> varying hazard level across time? I'm aware of the -strata()- option,
>>>>> but I wonder whether I can somehow account for time-varying covariates
>>>>> and incorporate it with -stcox-
>>>
>>> On Fri, Jan 6, 2012 at 9:33 AM, Yuval Arbel wrote:
>>>> Note also that in the medical context, the treatment - is a binary
>>>> variable, which equals 1 for the experimental treatment and 0
>>>> otherwise.
>>>> In our context - the variable of interest is the reduction rate in
>>>> percentage points - where this variable is quantitative.
>>>
>>> The proportional hazard assumption is required for Cox regression
>>> regardless of whether you are dealing with medical or economic data,
>>> the variables are binary or (pseudo-)continuous, or you have
>>> experimental or observational data.
>>>
>>> I gave an example on how to estimate and interpret a Cox model in
>>> which you relax the proportional hazard assumption by allowing the
>>> effect to change over time here:
>>> <http://www.stata.com/statalist/archive/2011-06/msg00358.html>
>>>
>>> Hope this helps,
>>> Maarten
>>>
>>> --------------------------
>>> Maarten L. Buis
>>> Institut fuer Soziologie
>>> Universitaet Tuebingen
>>> Wilhelmstrasse 36
>>> 72074 Tuebingen
>>> Germany
>>>
>>>
>>> http://www.maartenbuis.nl
>>> --------------------------
>>> *
>>> *   For searches and help try:
>>> *   http://www.stata.com/help.cgi?search
>>> *   http://www.stata.com/support/statalist/faq
>>> *   http://www.ats.ucla.edu/stat/stata/
>>
>>
>>
>> --
>> Dr. Yuval Arbel
>> School of Business
>> Carmel Academic Center
>> 4 Shaar Palmer Street,
>> Haifa 33031, Israel
>> e-mail1: [email protected]
>> e-mail2: [email protected]
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
>
> http://www.maartenbuis.nl
> --------------------------
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/



-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]

*
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