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Re: st: RE: Fractional Logit

From   "Clive Nicholas" <>
Subject   Re: st: RE: Fractional Logit
Date   Fri, 28 Oct 2005 23:49:59 +0100 (BST)

Rijo John replied to Nick Cox:

> Thanks Nick. I am trying to estimate the impact of spending on a
> particular commodity (say X) on the purchase of other goods and services.
> So I have the share of, say commodity Y (Its share in household budget)
> as the dependent variable and the expenditure on commodity X along
> various control variables for household as explanatory variables. This
> can be a standrad OLS estimation. But since the depended variable is a
> fraction and  is bound between 0 and 1 we go for fractional logit model.
> I hope this clarifies the problem. Given this I would like to know what
> would be the right choice of family and link in GLM.
> "family(gaussian) link(logit)" or "family(binomial) link(logit)" or some
> other combination?
> in "family(binomial) link(logit)" is it tru that stata takes all values
> other than 0 in the dependent variable as 1. If thats the case it does
> not take the budget share (absolute amount) information into account. It
> will only see if the budget share is absent or not.

Since your dependent variable is a fractional, or 'compositional',
variable ranging continuously from 0 to 1, another alternative is to use
Sean 'Jack' Buckley's -mlbeta-. This allows maximum likelihood estimation
with Beta-distributed dependent variables, as well as modelling separate
equations for both a mean and dispersion effect. This routine is _not_
downloadable from SSC, so type:

. net from

and then click on -mlbeta-. Hope that helps.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e:
Newcastle University  |

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