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Re: st: SUR and a system of logit models


From   "F. Gao" <gaofaye@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: SUR and a system of logit models
Date   Sat, 26 Apr 2008 10:22:18 -0400

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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