I have updated my -pgmhaz- program to version 8.2. The new version is
called -pgmhaz8- and, thanks to Kit Baum, may be installed from SSC
using the command -ssc install pgmhaz8-. (Users of Stata versions 5.0
to 8.1 may continue to use -pgmhaz-; it can be installed using -net stb
39 sbe17-.)
-pgmhaz8- estimates by ML two discrete time (grouped duration data)
proportional hazards regression models: (1) the Prentice-Gloeckler
(1978) model; and (2) the Prentice-Gloeckler (1978) model incorporating
a Gamma mixture distribution to summarize unobserved individual
heterogeneity ('frailty'), as proposed by Meyer (Econometrica 1990).
Covariates may be fixed or time-varying; and the baseline hazard
function may be parametric or non-parametric.
-pgmhaz8- takes advantage of new features added to -ml-: for example,
users may use maximization algorithms other than the default NR one
using the -technique()- option, and convergence should be somewhat
faster than before. The program now reports the correct p-value for the
LR test of Model 1 versus Model 2. You can choose not to display Model 1
results, and fweights and iweights are allowed.
The program still does not allow robust or cluster() options. These, and
further reductions in convergence time, are not possible without a major
re-write -- converting the program from using numerical derivatives
(method d0) to using analytical derivatives (e.g. method d1). I started
on this, but ran out of time. (The expressions for the derivatives are
really complicated, so I may not have got them right anyway. If anyone
wants to compare their math with mine, let me know!)
As usual, comments and suggestions to me please.
Stephen
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Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374. Fax: +44 1206 873151.
http://www.iser.essex.ac.uk
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