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RE: st: ZOIB procedure
Cameron McIntosh <email@example.com>
STATA LIST <firstname.lastname@example.org>
RE: st: ZOIB procedure
Sun, 18 Sep 2011 20:02:48 -0400
I have been wondering about simultaneous equation models (SEMs) that integrate Beta regression links, but I don't think anyone has done the computer implementation on this yet. That would solve your problem a bit more elegantly than SUR approaches as you could easily allow corr(e1,e2). That would certainly be a good R project. :)
Anyway, you may want to just switch to a logit or tobit model. Natural scientists (especially in biology and ecology) have long favoured arcsine(square root) transformations for dealing with proportions but this has been criticized recently by:
Warton, D.I., & Hui, F.K.C. (2011). The arcsine is asinine: the analysis of proportions in ecology. Ecology, 92(1), 3–10. http://www.esajournals.org/doi/pdf/10.1890/10-0340.1
who recommend logistic regression for analyzing proportions. You could estimate an SEM with logit links in gllamm, allow corr(e1,e2) and also instrument X if it's endogenous and if you have some defensible instruments in your data set.
My two cents,
> From: email@example.com
> Date: Sun, 18 Sep 2011 17:51:07 -0400
> Subject: st: ZOIB procedure
> To: firstname.lastname@example.org
> Dear Statalisters,
> I am using zoib (Stata 11.2) to estimate 2 proportions. I have 3 questions.
> 1. The model that I am attempting to estimate looks like the following.
> p1 = a1 + a2X + e1
> p2 = b1 + b2X + e2
> where pi is the proportion of income from source i.
> Is there any procedure that approximates an SUR for zoib that I can
> use? I tried the suest option but it does not offer a test statistic
> and the results under suest appear to be the same as without suest. I
> am unsure if this implies that SUR does not matter or if I missed
> 2. Wooldridge (2002) suggests using Smith-Blundell/Rivers Vuong
> method that for dealing with endogeneity with respect to fractional
> logit and tobit. Is this for some reason unsuitable for zoib?
> 3. I would like to investigate the usual problems like
> multicollinearity, heteroscedasticity, non-normality. Is there a
> resource that I might refer to for regression diagnostics for zoib?
> Thank you for you time.
> Prerna Marui
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