Hi
iam trying to estimate duration models(Cox-PH) but i have left censoring..Does anyone knows how this is treated in STATA?
Ioanna Stylianou
----- Original Message -----
From: Christopher Baum <[email protected]>
Date: Thursday, December 4, 2008 1:54 pm
Subject: st: Re: how to select model in xtpcse , corr(ar1)
To: [email protected]
> < >
> Ghislain said
> I want to compare two models one made with : xtpcse x y z,corr(ar1)
>
> the other with : xtpcse x y w,corr(ar1) xtpcse doesn't return AIC nor
>
> BIC nor e(ll),
>
> Martin suggests looking at r^2. AIC and BIC are criteria that will
>
> penalize for non-parsimonious models. As both of the models you
> specify have exactly the same length, they would not be useful. They
>
> are not estimated with maximum likelihood, so there is no e(ll). [OLS
>
> is not estimated with MLE either, but -regress- does provide e(ll)].
>
> As r^2 is perfectly comparable for models of the same length, r^2
> would seem to make sense as a comparison.
>
> I would worry more about the notion that if each of these models does
>
> a good job, with a significant z or w respectively, then there is
> surely the risk that they are both misspecified versions of a model
>
> that contains both. Can you indeed rule out w appearing in the first
>
> model, or z in the second?
>
>
> Kit Baum, Boston College Economics and DIW Berlin
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
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