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Re: st: Wald chi-square and ml with multiple equations


From   "E. Paul Wileyto" <epw@mail.med.upenn.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Wald chi-square and ml with multiple equations
Date   Thu, 13 Nov 2008 07:51:48 -0500

Nobody answered, so I dug around and got an answer myself. Here it is for anyone who is curious about it.

Any ml procedure will, by default, report the Wald test for the first equation. From the call to -zinb-, we see a table entry for the Wald chi2 with 9 degrees of freedom. I want an overall test that covers equations 1 and 2, with 18 degrees of freedom. If I were writing the routine, I could add an option to the ml max statement (or model statement for non-interactive) specifying waldtest(-2), which would make the table report the test for the first two equations. However, you cannot mess around with the other people's code to do this, especially stock Stata commands.

The alternative is to use -test- afterwards, and the most efficient way to call it is:

test [#2]
test [#1], a

The first call will report a test for equation 2, and the second call, with the "a" option will give a cumulative test of equation 1 and prior test.

Results look like this:

. test [#2]

( 1)  [inflate]drug = 0
( 2)  [inflate]sex = 0
( 3)  [inflate]wk_1 = 0
( 4)  [inflate]wk_2 = 0
( 5)  [inflate]wk_3 = 0
( 6)  [inflate]wk_4 = 0
( 7)  [inflate]wk_5 = 0
( 8)  [inflate]wk_6 = 0
( 9)  [inflate]wk_7 = 0

          chi2(  9) =   52.06
        Prob > chi2 =    0.0000

. test [#1],a

( 1)  [inflate]drug = 0
( 2)  [inflate]sex = 0
( 3)  [inflate]wk_1 = 0
( 4)  [inflate]wk_2 = 0
( 5)  [inflate]wk_3 = 0
( 6)  [inflate]wk_4 = 0
( 7)  [inflate]wk_5 = 0
( 8)  [inflate]wk_6 = 0
( 9)  [inflate]wk_7 = 0
(10)  [cignums]drug = 0
(11)  [cignums]sex = 0
(12)  [cignums]wk_1 = 0
(13)  [cignums]wk_2 = 0
(14)  [cignums]wk_3 = 0
(15)  [cignums]wk_4 = 0
(16)  [cignums]wk_5 = 0
(17)  [cignums]wk_6 = 0
(18)  [cignums]wk_7 = 0

          chi2( 18) =  137.09
        Prob > chi2 =    0.0000





E. Paul Wileyto wrote:
When I am using ml with a multiple equation model, for instance <zinb>, the Wald chi-square seems only to reflect the first equation. Is this correct? Is there any way to specify that the Wald chi-square should refer to equations 1 and 2?

Example, from our smoking data..

. zinb cignums drug sex wk_*, inflate(drug sex wk_*) vce(cluster subject)

Zero-inflated negative binomial regression Number of obs = 61187 Nonzero obs = 25293 Zero obs = 35894

Inflation model = logit Wald chi2(9) = 14.20 Log pseudolikelihood = -140745.3 Prob > chi2 = 0.1152

(Std. Err. adjusted for 1108 clusters in subject) ------------------------------------------------------------------------------
            |               Robust
| Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+----------------------------------------------------------------
cignums      |
drug | -.0456683 .3742062 -0.12 0.903 -.7790989 .6877623 sex | -.6529265 .3798595 -1.72 0.086 -1.397437 .0915844 wk_1 | .3787082 .2037435 1.86 0.063 -.0206218 .7780381 wk_2 | .1070914 .2334659 0.46 0.646 -.3504934 .5646762 wk_3 | .0697002 .194177 0.36 0.720 -.3108797 .4502802 wk_4 | .0677434 .1862907 0.36 0.716 -.2973796 .4328664 wk_5 | .0437185 .0350697 1.25 0.213 -.0250169 .1124539 wk_6 | .00758 .0215772 0.35 0.725 -.0347106 .0498706 wk_7 | .0017718 .0107169 0.17 0.869 -.019233 .0227766 _cons | 3.153936 .3848694 8.19 0.000 2.399606 3.908266 -------------+----------------------------------------------------------------
inflate      |
drug | 1.237415 .2633714 4.70 0.000 .7212164 1.753613 sex | -.645983 .2127249 -3.04 0.002 -1.062916 -.2290497 wk_1 | 1.210853 .2290275 5.29 0.000 .7619678 1.659739 wk_2 | 1.012303 .190464 5.31 0.000 .639 1.385605 wk_3 | .839768 .1582912 5.31 0.000 .5295229 1.150013 wk_4 | .6872417 .1480842 4.64 0.000 .3970019 .9774815 wk_5 | .4740839 .1026852 4.62 0.000 .2728246 .6753432 wk_6 | .2748173 .0671609 4.09 0.000 .1431844 .4064501 wk_7 | .1148675 .0404778 2.84 0.005 .0355325 .1942025 _cons | -1.463269 .5311934 -2.75 0.006 -2.504389 -.4221496 -------------+---------------------------------------------------------------- /lnalpha | 1.38432 .1631759 8.48 0.000 1.064501 1.704139 -------------+---------------------------------------------------------------- alpha | 3.992112 .6514166 2.899393 5.496653 ------------------------------------------------------------------------------


Thanks

Paul





--
E. Paul Wileyto, Ph.D.
Assistant Professor of Biostatistics
Tobacco Use Research Center
School of Medicine, U. of Pennsylvania
3535 Market Street, Suite 4100
Philadelphia, PA  19104-3309

215-746-7147
Fax: 215-746-7140
epw@mail.med.upenn.edu



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