Re: st: seemingly unrelated negative binomial

[Rachel Whaley <rwhaley@siu.edu>]

Thanks to Mark and Maarten for offering answers.  I think I need a 
little more help.  Let me clarify what I need to do.

I have four dependent variables (different count variables drawn from 
the same sample).  Ideally I would like to use SUR rather than four 
separate regression analyses to control for the correlated errors and to 
compare the equality of coefficients across equations (f-tests). 
However, the data are counts and require negative binomial regression. 
At this point, I have estimated the equations separately using nbreg and 
I will calculate by hand a statistic to examine the equality of 
coefficients across models (the models are exactly the same, just the 
dependent variables are different).  Unless there is a way to do this?

Perhaps you have already told me there is a way to do this, but I guess 
I do not understand.

Thanks again in advance,
Rachel



Schaffer, Mark E wrote:

> Rachel,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > Maarten buis
> > Sent: 30 July 2007 22:07
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: seemingly unrelated negative binomial
> >
> > --- Rachel Whaley <rwhaley@siu.edu> wrote:
> >
> > > Is there a way to estimate seemingly unrelated negative binomial or 
> > > seemingly unrelated poisson regression equations in STATA?
> > -suest- will allow you to do a seemingly unrelated regression 
> > on any estimation command that allows you to use -predict- to 
> > predict scores (first derivative of the likelihood function). 
> > -predict- can get scores after both -nbreg- and -poisson-, so 
> > seemingly unrelated negative binomial or seemingly unrelated 
> > poisson regression are possible, see:
> > -help suest- for details.
> Just to add a bit to Maarten's suggestion: -suest- will let you combine
> two or more "seemingly unrelated" equations so that you can test
> cross-equation restrictions and the like.  But it won't do
> "seemingly-unrelated estimation" a la Zellner and -sureg-, i.e., you
> won't get the efficiency gains possible from estimating the equations as
> a system. The coefficients reported by -suest- are just the original
> ones.
>
> Cheers,
> Mark
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
>  
>
> > Hope this helps,
> > Maarten
> >
> > -----------------------------------------
> > Maarten L. Buis
> > Department of Social Research Methodology Vrije Universiteit 
> > Amsterdam Boelelaan 1081
> > 1081 HV Amsterdam
> > The Netherlands
> >
> > visiting address:
> > Buitenveldertselaan 3 (Metropolitan), room Z434
> >
> > +31 20 5986715
> >
> > http://home.fsw.vu.nl/m.buis/
> > -----------------------------------------
> >
> >
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