topic Re: How do I output the c-statistic (AUC) in proc logistic when using the strata statement? in Statistical Procedures

How do I output the c-statistic (AUC) in proc logistic when using the strata statement?

rachard11 — Fri, 08 Sep 2017 14:47:12 GMT

How do I output the c-statistic with proc logistic when the strata statement is used? Without the strata statement, this statistic is output automatically. Google searches indicate many of the options for outputting data related to the c-statistic in proc logistic do not apply when the strata statement is used, and I'm looking for a workaround. I'm using SAS 9.4.

Re: How do I output the c-statistic (AUC) in proc logistic when using the strata statement?

Rick_SAS — Fri, 08 Sep 2017 17:54:20 GMT

The AUC (c) statistic is contained in the "Association" table, but as stated in the documentation, the "Association" table is not created when you use the STRATA statement. (Similarly, the ROC statement and the OUTROC= option are not allowed when a STRATA statement is specified.) So what you are asking for doesn't make sense.

If you are trying to compare/contrast the ROC curves for various models, you can use the ROC and ROCCONTRAST statements.

Re: How do I output the c-statistic (AUC) in proc logistic when using the strata statement?

rachard11 — Fri, 08 Sep 2017 19:34:59 GMT

Thank you for the response, Rick. I'm using the strata statement to run
firm fixed effects in a logistic regression with panel data (each firm is a
separate stratum). Conceptually, is there a reason that computing a
c-statistic wouldn't make sense when using the strata statement? Or is it
just that SAS doesn't output the association table or other output that
contains the c-statistic? Sorry if I'm missing something obvious here.

Re: How do I output the c-statistic (AUC) in proc logistic when using the strata statement?

StatDave — Wed, 20 Apr 2022 21:59:22 GMT

In a fixed effects model you are maximizing a conditional log likelihood which allows you to avoid estimating all of the individual strata parameters. Those strata parameters would be in the unconditional model resulting from putting the strata variable in the model instead of the STRATA statement. Without these parameters, the usual unconditional predicted probabilities for each observation are not possible, and these are necessary to compute the statistics that make up the ROC curve and its area.

And from Rick:

The AUC (c) statistic is contained in the "Association" table, but as stated in the documentation, the "Association" table is not created when you use the STRATA statement. (Similarly, the ROC statement and the OUTROC= option are not allowed when a STRATA statement is specified.) So what you are asking for doesn't make sense.

If you are trying to compare/contrast the ROC curves for various models, you can use the ROC and ROCCONTRAST statements.

Re: How do I output the c-statistic (AUC) in proc logistic when using the strata statement?

rachard11 — Thu, 14 Sep 2017 17:59:56 GMT

That makes sense. Thank you for the explanation.