st: parametric survival analysis - choosing the probability distribution

[Magdalena Kapelko <magdalena.kapelko@gmail.com>]

Hi,
I am trying to run survival analysis is STATA, analyzing the impact of
some variables on the probability of firm failure. Because the
proportionality assumption for cox model does not hold, I run a
parametric regression model instead. I want to choose between Weibull
and exponential distributions. Some literature says: compare AIC of
different models and choose a model with the lowest AIC. But the
problem is that:
- for Weibull I obtain very large negative AIC  (aprox. - 20000)
- for exponential I obtain positive AIC (aprox. 1000).

when choosing the model, shall I look at absolute values of AIC and in
this way choose exponential, or shall I choose in general a model with
the smallest AIC that is Weibull. Is it possible that for the model
with the same independent variables, the assumption of one
distribution can give a negative AIC and the other a positive AIC?
Thanks.

Magda
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