Re: st: SUR and a system of logit models

["Michael Anthony Carlton" <carlto12@msu.edu>]

You are correct. Estimating these equations as a system will only gain 
efficiency. Because the logit is in the linear exponential family as long as 
the conditional mean function is modeled correctly you will have consistent 
parameter estimates. 
F. Gao writes: 

> Dear all, 
> Thanks for your reply. 
> I actually have more than 2 equations that I am currently running
> logistic regressions separately. 
> My understanding is that estimating them together would increase the
> efficiency of the estimates. But is there anything strongly against
> doing this instead of estimating a system of equations? 
> Any other suggestions? 
> Thanks!
> Faye 
> If there is no STATA procedue, is there SAS procedure? 
> On 4/26/08, Phil Schumm <pschumm@uchicago.edu> wrote:
>
> > On Apr 25, 2008, at 4:53 PM, F. Gao wrote:
> > > What to do if I have a system of logit models (binary dependent variables)
> > and wish to do SUR regression?
> > > eg: Pr(A=1)=f(x,y), Pr(B=1)=f(x,z)
> > > 
> > On Apr 26, 2008, at 5:35 AM, Stephen P. Jenkins wrote:
> > > There is no such approach that I am aware of, as there is no multivariate
> > logistic distribution.
> > > 
> >
> > One possible approach is alternating logistic regression: 
> > V. Carey, S. L. Zeger, and P. Diggle. Modelling multivariate binary data
> > with alternating logistic regressions. Biometrika, 80(3):517–526, 1993. 
> > I am not aware of a Stata implementation. 
> >
> > -- Phil 
> >
> >
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