On Fri, 10 Jan 2003 13:51:37 -0500 Daniel Simon <[email protected]>
wrote:
> Hi - I am estimating a discrete time hazard model, using pgmhaz. I have
> several covariates that are in the form ln(x). I'm wondering how to
> interpret the coefficients on these variables. Specifically, when i
> exponentiate the estimated coefficient, b, what does exp(b) mean? For
> example, if the coefficient b is equal to -5, and exp(-5) is .00674, then
> does this say that a 1% change in x reduces the hazard by .99326? Or is it
> something different? Thanks. Daniel
Why might you want to exponentiate the coeff on an explanatory variable
that is in log form? Since -pgmhaz- estimates proportional hazard
regression models (using discrete time data), the model is of the form:
log(hazard_it) = b'X_it + c'log(Y_it)
with an additional gamma frailty term in -pgmhaz- Model 2.
Hence the coefficient c may be interpreted as the elasticity of the
hazard w.r.t. Y_it (or, if you will, the percentage change in the
hazard given a one percent change in Y_it:)
See the (pdf file) draft lecture notes at
http://www.iser.essex.ac.uk/teaching/stephenj/ec968/index.php
Stephen
----------------------
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester, CO4 3SQ, UK
Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151.
http://www.iser.essex.ac.uk
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