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Re: st: joint estimation of two equations using GLM


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: joint estimation of two equations using GLM
Date   Fri, 4 Nov 2011 09:55:39 +0000

You asked essentially the same question on 14 October and got various
replies. I imagine that people following this matter would have the
same suggestions and/or would expect that you would be reporting why
those suggestions are not appropriate. It is difficult to see the
answers would be different three weeks later.

Nick

On Fri, Nov 4, 2011 at 9:31 AM, Shehzad Ali <drshehzad_ali@yahoo.com> wrote:

> 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.

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