Re: st: stcox: weighted regression changes the # of observations

[Michael McCulloch <mm@pinest.org>]

Thank you very much, Jeff, for pointing out what I missed in the documentation.
I understand now what happened in the analysis!


At 09:01 AM 12/1/2006, you wrote:
> Michael McCulloch <mm@pinest.org>
>
> > I'm conducting cox regression on a dataset measuring survival after
> > treatment. I'm puzzled as to why weighted regression (using   -iweight-
> > after -stcox-) would show a different # of observations in the output. 
> Here
> > are results of the ways I've done the analysis. In each case, I start with
> > only 33 subjects.
> >
> > (output omitted)
>
> As documented in '[U] 11.1.6 weights'
>
>         iweights, or importance weights, are weights that indicate the
>         "importance" of the observation in some vague sense.  iweights 
> have no
>         formal statistical definition; any command that supports iweights 
> will
>         define exactly how they are treated.  In most cases, they are 
> intended
>         for use by programmers who want to produce a certain computation.
>
> However -iweight-s are usually treated computationally as -fweight-s that are
> allowed to take on non-integer values.  For commands that have that
> interpretation, the sum of the weights is treated as the sample size.  I
> believe most of Stata's estimation commands that allow -iweight-s (including
> -stcox-) are consistent in this regard.
>
> > *Note: I'm using inverse probability of treatment weighting, with the
> > following command immediately preceding -stcox-:
> > stset datedied [iweight=wt_unst_II]
>
> -bootstrap- is not meant for weighted data.   Currently -stcox- with the
> -vce(bootstrap)- option does not complain when weights have been -stset, but
> it should (we will fix this soon).
>
> > Another anomaly is why the bootstrap option yields a narrower ci95.
>
> Standard errors from the bootstrap are not guaranteed to be larger than
> the conventionally computed standard errors.
>
> --Jeff
> jpitblado@stata.com
> *
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Best wishes,
Michael


____________________________________

Michael McCulloch
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