That's helpful.
Nick
[email protected]
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Maarten buis
Sent: 04 September 2009 16:24
To: stata list
Subject: st: RE: simulate
--- Andrzej Niemierko wrote:
> > I am trying to validate my logistic regression model by calculating a
> > distribution of area under the ROC curve for bootstrap samples of my
> > original data.
--- Nick Cox wrote:
> Let's take this step by step:
>
> 1. If you want a new ROC area for each new bootstrap sample that you
> draw, you can only do that after the sample is drawn.
>
> 2. That must therefore be done within your program, and all under the
> aegis of -simulate-.
>
> Thus -mysim- must call -logistic-.
I think the key word in Andrzej question is "validate". In some areas
this term means estimate a model in a sample, compute a fit statistic
of that model in (many) alternative sample, and use these fit statistics
as a measure of fit. If I remember correctly this is supposed to protect
against overfitting or capitalizing on chance: You are trying to look at
how well the model generalizes to other populations. I (barely) know of
its existence, so I can't comment on its merrit, but this would seem to
me to make Andrzej request reasonable (and I gave a sugestion on how to
do it in an earlier post).
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