Dear Stata list members,
I am using parametric models for a survival analysis.
I have a sequence of runs and want to test duration
dependence, a technique developed by McQueen and
Thorley (1994) to test the bubbles in stock prices.
They contend that if prices contain bubbles, then runs
of positive returns will exhibit negative duration
dependence, i.e., an inverse relation exists between
the probability of a run ending and the length of the
run. They adopted log-logistic model for testing.
I am little confused while estimating log-logistic,
weibull model.
I am using foloowing commands
stset curun
streg curun, dist(llogistic) time
streg curun, dist(weibull) time
The attached file contains the data set.
I appreciate any answer and help.
Thanks
ABDUL-HAQUE
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Attachment:
RUNS.dta
Description: 1951027721-RUNS.dta
