st: Multivariate Poisson - Correlation of Error Terms

["U.G. Narloch" <ugn20@cam.ac.uk>]

Dear STATA-List users,

I have the following model:

y1	=  	X’ β1 + Z1’ γ1 + ε1
y2 	=	X’ β2 + Z2’ γ2 + ε2
y3 	=	X’ β3 + Z3’ γ3 + ε3
y4	=	X’ β4 + Z4’ γ4 + ε4.

The dependent variables are count variables and X is a vector of explaining 
variables that is identical in each equation whereas Z includes 
equation-specific variables that differ from equation to equation.

I assume that the four count processes are related to one another, so that 
the disturbance terms should be correlated. To estimate these four 
equations in a multivariate model I follow the approach suggested at: 
http://www.stata.com/statalist/archive/2003-08/msg00226.html 
http://www.stata.com/statalist/archive/2004-09/msg00599.html.

First, I estimate each Poisson regressions separately and second I combine 
these results in a joint model via a Seemingly Unrelated Estimation 
(SUEST). Having done this, I would like to test if the error terms are 
really correlated, so that the count regressions cannot be estimated 
independent from each other.

For instance, the mvprobit command gives the correlation of the error terms 
between each equation and a likelihood ratio test for the correlation of 
error terms in the model. So, I am wondering if something like this could 
be done after the suest command.

As so far I was not able to figure out any method to do this, I would 
appreciate any contribution!

Thanks a lot!
Ulf Narloch





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