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Re: st: seemingly unrelated negative binomial


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: seemingly unrelated negative binomial
Date   Tue, 31 Jul 2007 21:51:56 +0100 (BST)

--- Rachel Whaley <rwhaley@siu.edu> wrote:
> 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?

Below I give a substantively non-sensical example which explains the
mechanics of using -suest-: You estimate the equations seperately,
store each equation directly after you estimate it with -est store-,
and than use -suest- on the stored equations. I have used -poisson- as
-nbreg- did not converge quickly in this case (which is not surprising
since it is non-sensical), but in your case you can just as easily
replace -poisson- with -nbreg-.

*------------ begin example ------------
sysuse nlsw88, clear
poisson age married
est store A

poisson grade married
est store B

suest A B
test [A_age]married=[B_grade]married
*------------- end example --------------
(For more on how to use examples I sent to the Statalist, see
http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html )

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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