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st: joint estimation of two equations using GLM


From   Shehzad Ali <drshehzad_ali@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: joint estimation of two equations using GLM
Date   Fri, 4 Nov 2011 09:31:06 +0000 (GMT)

Hi Listers,

I am working with glm models for two dependent variables that may be correlated. My equations are:

glm y1 $xvars1, family(binomial) link(logit)


glm y2 $xvars1, family(gamma) link(log)


Is there a way that I could jointly estimate the two equations to allow for correlation? I believe -sureg- estimates equations jointly but assumes normality which is not tenable in this case. Hence, I would prefer to use glm but would like to allow for correlation. Any help would be appreciated.


Thank you
Shehzad

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