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st: RE: statalist-digest V4 #4655


From   <S.Jenkins@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: statalist-digest V4 #4655
Date   Sat, 29 Sep 2012 13:43:32 +0100

------------------------------

Date: Fri, 28 Sep 2012 09:12:20 +0000
From: "Nynke ." <nyntje84@hotmail.com>
Subject: st: Cox model with unobserved heterogeneity

Hi everybody,

I would like to estimate a mixed proportional hazard model with a
flexibel specification of the hazard in Stata, comparable to a Cox model
with unobserved heterogeneity. I can estimate a MPH with a parametric
form of the hazard and unobserved heterogeneity (streg with frailty) or
a Cox model without accounting for unobserved heterogeneity (stcox), but
how do I sort of combine these two? And when I have estimated this
model, is there a way to check the PH assumption?
I hope you can help me, the archive is always a great help for me but
not in this specific case!

Nynke
----------------------------------

Checkout -phmhaz8- and -hzhaz-, downloadable from SSC, and read the
Lesson on unobserved heterogeneity at my site (URL below). Or use
-xtcloglog- , a built-in command.

These fit Proportional Hazard (PH) models for interval-censored (a.k.a.
discrete time, or grouped) survival time data with unobserved
heterogeneity (a.k.a. frailty) assumed to be distributed Gamma, discrete
mass point, and normal (Gaussian) respectively.

In my view, one needs to be careful about referring to "the Cox model".
It has several distinctive features, including: the PH assumption,
making no assumptions about the base-line hazard (only the coefficients
on the covariates are identified), and being developed in the context of
continuous-time survival data. If one seeks models that shares features
of "the Cox model", it helps to clear about which features one is
referring to.


Stephen
-------------------------------------
Professor Stephen P. Jenkins  <s.jenkins@lse.ac.uk>
Department of Social Policy 
London School of Economics and Political Science
Houghton Street, London WC2A 2AE, U.K.
Tel. +44 (0)20 7955 6527
Changing Fortunes: Income Mobility and Poverty Dynamics in Britain, OUP
2011, http://ukcatalogue.oup.com/product/9780199226436.do
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/survival-analysis
Downloadable papers and software: http://ideas.repec.org/e/pje7.html

Please access the attached hyperlink for an important electronic communications disclaimer: http://lse.ac.uk/emailDisclaimer

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