//
//Cox Survival command
//
//This command is regression for survival analysis called Cox Hazard model.
//

//Syntax
cox [target] by [explanation];

//Example 1
//read default compay by grade for 12 years.








get haz2@;
//define defalut company (tim_1 to tim_12) to vector.
vector tim[12];

//count default company by elapsed time and grade. 
for(i=0;i<=12;i++) {
   censor=1;
   pstime=i;
   if(i == 0) {
     default=0;
   } 
   else {
     default=tim[i];
   }
   grade=rating;
   outrec;
}

select grade censor pstime default;

sort  pstime grade;

//output tempolary file
put dmy1;

//count safe company after 12 years.
get haz2@;
vector tim[12];

sum=0;
for(i=1;i<=12;i++) {
   sum=sum+tim[i];
}

default=init-sum;
grade=rating;
pstime=13;
censor=0;


select grade pstime default censor;
put dmy6;

//concatinate defaut file and safe file.  
get dmy1;
concat dmy6;
select pstime grade default censor;
put cox3;

get cox3;
//execut cox hazard regression
cox default by grade;

//get regression coefficent(beta) from output. 
get freq@ana;

//make cox survival function for regression coefficent.
accume beta_0;
beta_0=beta_0;

vector haz[9];
for(i=1;i<=9;i++) {
  haz[i]=base*exp(i*beta_0);
}

plot line base haz_1 - 9 by time