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st: 2 part model with Negative binomial

From   "Holland, Margaret" <>
To   <>
Subject   st: 2 part model with Negative binomial
Date   Tue, 3 Nov 2009 11:56:23 -0500

I am attempting to test a mediation model, with an outcome that is a
count variable (Y), a mediator (M) that is continuous (but could be
dichotomized), and an independent variable (X) that is either
dichotomous or continuous. I would like to test the indirect path, which
can be considered a 2-part model:


I am considering negative binomial as the best model for my outcome (Y),
although there are many zeros (70%). Zero-inflated negative binomial or
ZIP generally do not converge well for these data. For the second
equation, OLS should be sufficient or perhaps logit or probit.

I have not been able to find something already written in Stata to
estimate this. I am familiar with user-written MLE, but fear this would
get quite complicated if I want to included correlated errors, which
seem likely.

Any thoughts?
Thank you,

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