----- Original Message -----
From: "Ralf Dewenter" <[email protected]>
To: <[email protected]>
Sent: Thursday, August 14, 2003 12:44 PM
Subject: st: multivariate count regression
> Hi all,
>
> Does anybody know, where to find an ado-file
> for multivariate count regressions?
> Thanks.
>
> Regards
>
> Ralf Dewenter
>
Would -poisson- or -nbreg- with -suest- be sufficient? I believe it is similar
to -mvreg- in that it estimates the between-equation covariance so you can test
coefficients across equations.
Example:
. clear
. set obs 100
obs was 0, now 100
. gen x1 = invnorm(uniform())
. gen x2 = invnorm(uniform())
. gen xb = 1 + 2*x1 - x2
. genpoisson y, xbeta(xb)
. genpoisson y2, xbeta(xb)
. qui poisson y x1 x2,score(s1)
. est store A
. qui poisson y2 x1 x2, score(s2)
. est store B
. suest A B
Simultaneous results for A, B
Obs = 100
------------------------------------------------------------------------------
| Robust
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
A_y |
x1 | 1.432079 .1199582 11.94 0.000 1.196966 1.667193
x2 | -.7417589 .0804557 -9.22 0.000 -.8994491 -.5840686
_cons | 1.45254 .0961629 15.10 0.000 1.264064 1.641015
-------------+----------------------------------------------------------------
B_y2 |
x1 | 1.418806 .1223085 11.60 0.000 1.179085 1.658526
x2 | -.7914187 .0901748 -8.78 0.000 -.968158 -.6146794
_cons | 1.459112 .097084 15.03 0.000 1.26883 1.649393
------------------------------------------------------------------------------
. test [A_y]x2 = [B_y2]x2, common
( 1) [A_y]x2 - [B_y2]x2 = 0
chi2( 1) = 1.48
Prob > chi2 = 0.2236
Scott
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