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Re: st: SUR and a system of logit models


From   Phil Schumm <pschumm@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: SUR and a system of logit models
Date   Sat, 26 Apr 2008 08:10:35 -0500

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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