Dear Nick,
Thanks for your comments. I understand your point about
the fascination with a single goodness-of-fit measure but I
was simply puzzled by why Stata reports the Pseudo R-sq in
one case and not the other (i.e., -streg- and -stcox-), and
likewise for the p-value of Wald chi-2.
But nonetheless, it's interesting to read your comments;
since I am not an expert in econometrics (or should I say
statistics?), I find none of these discussions useless.
Nishant
--- Nick Cox <[email protected]> wrote:
> On survival models, others can help much better than I.
>
> When R-squared is mentioned, I reach for my prejudices.
> The first thing to do is
>
> . search rsquared, faq
>
> for all kinds of (indirectly) relevant discussion.
>
> In a nutshell, there is no such thing as "the R-squared".
>
> Some commands calculate measures that are, or are
> analogous to, a squared correlation between observed and
> fitted (predicted). Some commands calculate measures
> that are based on a comparison of likelihoods. Other
> commands calculate neither. Some of these measures
> are honestly labelled "pseudo", although why such
> measures should be taken seriously is often unclear.
> The desire to encapsulate all the merits and demerits
> of a model in a single measure really is rather
> primitive,
> although most of us cannot resist most of the time.
>
> Depending on what the problem is, two sets of estimates
> can be compared directly, via some simple plot or by
> looking at differences, ratios, etc.
>
> Nick
> [email protected]
>
> Nishant Dass
>
> > I want to estimate a hazard-rate model and I would like
> to
> > compare estimates from -streg- with those from -stcox-,
> > however, I am puzzled as to why -streg- and -stcox-
> report
> > different statistics for the overall fit of the model
> (I
> > used -ereturn list to check this).
> >
> > More specifically:
> > streg stcox
> > R-squared NO YES
> > Wald chi-2 YES YES
> > p-value for Wald YES NO
> >
> > So, my question is: is there a specific reason why the
> > R-squared is reported in -streg-? (While I can
> calculate
> > the p-value of Wald test for the dozens of Cox
> > proportional-hazard regressions I have, it would have
> been
> > easier if I could just -outreg- it so I also wonder why
> is
> > the p-value not reported for -stcox-.)
> >
> > If anyone has a clue, could you please tell me? Thank
> you.
>
> *
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>
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