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Re: st: Cox Competing Risks Model (Cox CRM)
From
Steven Samuels <[email protected]>
To
[email protected]
Subject
Re: st: Cox Competing Risks Model (Cox CRM)
Date
Wed, 27 Jul 2011 23:30:53 -0400
If you use the stratified version of the Lum/McNeil model, as I suggested, then the log-likelihood of the combined model will be the total of the separate log-likelihoods. Notice the coefficients of the third are those in the first two.
Steve
[email protected]
*************************************
sysuse auto, clear
eststo clear
stset mpg
eststo M1: qui stcox turn length if foreign==0, nohr
eststo M2: qui stcox turn length if foreign==1, nohr
eststo M3: qui stcox c.turn#ibn.foreign c.length#ibn.foreign, nohr strata(foreign)
estadd scalar Log_Likelihood =e(ll): M1 M2 M3
estout M1 M2 M3, cells(b se) stats(Log_Likelihood)
di -131.9868 + -42.78481
esttab M1 M2 M3, title(Separate & Combined Models) label nonumbers mtitles("Domestic" "Foreign" "Combined") stats(Log_Likelihood)
********************************
On Jul 27, 2011, at 8:46 AM, Stefan Göke wrote:
Dear statalisters,
I am aware that a competing risks can be implemented e.g. via a separate Cox models or via augmenting the data before applying a Cox model.
Reading “He et al. (2010) A Competing Risks Analysis of Corporate Survival in Financial Management” and “Dickerson et al. (2003) Is attack the best form of defence? A competing risks analysis of acquisition activity in the UK in Cambridge Journal of Economics”, I am curious to know whether somebody on the list knows how to implement those models in Stata. In fact, the authors present results for three competing risk types where each covariate has a separate coefficient per risk type. However, LL, Chi2 are only presented once, implying that it is only one model the authors estimate. The only way I know to do this is via three separate models that would have one LL, Chi2 etc. each.
Here is an excerpt of table 4 p. 1713 from He et al (2010) to illustrate my question. Their three risk types are bankruptcy, M&A, privatized. –LL is only reported once.
Cox CRM Model Without Heterogeneity
Bankruptcy M&A Privatized
Profitability −3.0515∗∗∗ 1.1989 4.9439∗∗∗
Growth −0.9699 0.3095∗∗ 0.3105∗∗∗
Size 0.5173∗∗∗ 0.194 0.5300∗∗∗
Turnover (market) −0.0051 −0.0011∗∗ −0.0019∗∗
Turnover (stock) −0.2964 0.0361∗∗∗ 0.0042
Stock performance −24.74∗∗∗ 12.14∗∗ −5.928
FCF 0.3675 10.9 15.02∗∗∗
Tax 31.58∗ 26.49 −5.8077
q-ratio 0.1767∗∗∗ 0.1231 −0.4449∗∗∗
Leverage −0.1151 −1.3721 −1.3365∗
Investment −0.3223 −1.4312 0.0621
- ln L 458.44
Many thanks for your consideration
Stefan
--
Stefan Göke
Ph.D. Candidate
Department of Management
University Paderborn
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