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Re: st: seemingly unrelated negative binomial
You might check out an econometric program called Limdep. I can't
remember if what you want is in there but it may be.
David Jacobs
At 04:36 PM 7/31/2007, you wrote:
Thanks to Mark and Maarten for offering answers. I think I need a
little more help. Let me clarify what I need to do.
I have four dependent variables (different count variables drawn
from the same sample). Ideally I would like to use SUR rather than
four separate regression analyses to control for the correlated
errors and to compare the equality of coefficients across equations
(f-tests). However, the data are counts and require negative
binomial regression. At this point, I have estimated the equations
separately using nbreg and I will calculate by hand a statistic to
examine the equality of coefficients across models (the models are
exactly the same, just the dependent variables are
different). Unless there is a way to do this?
Perhaps you have already told me there is a way to do this, but I
guess I do not understand.
Thanks again in advance,
Rachel
Schaffer, Mark E wrote:
Rachel,
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Maarten buis
Sent: 30 July 2007 22:07
To: [email protected]
Subject: Re: st: seemingly unrelated negative binomial
--- Rachel Whaley <[email protected]> wrote:
Is there a way to estimate seemingly unrelated negative binomial
or seemingly unrelated poisson regression equations in STATA?
-suest- will allow you to do a seemingly unrelated regression on
any estimation command that allows you to use -predict- to predict
scores (first derivative of the likelihood function). -predict-
can get scores after both -nbreg- and -poisson-, so seemingly
unrelated negative binomial or seemingly unrelated poisson
regression are possible, see:
-help suest- for details.
Just to add a bit to Maarten's suggestion: -suest- will let you combine
two or more "seemingly unrelated" equations so that you can test
cross-equation restrictions and the like. But it won't do
"seemingly-unrelated estimation" a la Zellner and -sureg-, i.e., you
won't get the efficiency gains possible from estimating the equations as
a system. The coefficients reported by -suest- are just the original
ones.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology Vrije Universiteit
Amsterdam Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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