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


From   Yuval Arbel <yuval.arbel@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: stcox in case the ph-assumption is rejected
Date   Fri, 6 Jan 2012 17:34:22 +0200

Thanks, that sounds great.

I tried this and got the following error command:

. stpm2 mean_reduct reductcurrent_mean_reduct rent_net8
diff_stdmadadarea diff_mortgage permanentincomeestimate82 a
> ppreciation,df(4)
note: delayed entry models are being fitted
The scale must be specified

Note that in my sample - tenants start to exercise at t=13. Is this
fact has something to do with this error message?

On Fri, Jan 6, 2012 at 5:14 PM, Alex Gamma <alex.gamma@uzh.ch> wrote:
> Hi Yuval,
>
> I prefer the user-written command STPM2 for these kinds of situation. It makes it easy to model variables that violate the PH-assumption as time-dependent effects using cubic splines.
>
> - ssc describe stpm2 -
> - ssc install stpm2 -
>
> Alex
>
>
> Am 06.01.2012 um 09:06 schrieb Yuval Arbel:
>
>> Dear Statalist Participants,
>>
>> I'm working with stata 11.2. Having read carefully stata's manual
>> under the title "stcox  PH-assumption tests" I have two questions
>> (which seems to be relevant to Marteen's answer in another thread):
>>
>> The manual shows very nicely the following situation related to
>> medical experiments: if we take two groups of cancer patients, where
>> one group is exposed to a standard treatment and the other to a
>> special treatment - and we would like to show that the experimental
>> treatment is more efficient, we anticipate a paralel upward shift  of
>> the projected survival rates compared to the actual ones. If this is
>> the case - the PH-assumption, namely the assumption that the hazard to
>> survival is constant over the sample period, is supported
>> statistically.
>>
>> My first question is whether this discussion is relevant if I am
>> applying the Cox model to describe the exercise of call (real) options
>> to purchase appartments.
>>
>> My second question is the following: suppose that the PH-assumption
>> does not hold in the sample and the above discussion is relevant. The
>> stata manual says the following: "If the assumption fails, alternative
>> modeling choices would be more appropriate (e.g. , a stratified Cox
>> model, time-varying covariates)."
>>
>> The question is: 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-
>>
>> --
>> Dr. Yuval Arbel
>> School of Business
>> Carmel Academic Center
>> 4 Shaar Palmer Street,
>> Haifa 33031, Israel
>> e-mail1: yuval.arbel@carmel.ac.il
>> e-mail2: yuval.arbel@gmail.com
>> *
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>
>
> *
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-- 
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: yuval.arbel@carmel.ac.il
e-mail2: yuval.arbel@gmail.com

*
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*   http://www.stata.com/help.cgi?search
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*   http://www.ats.ucla.edu/stat/stata/


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