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From |
Maarten Buis <[email protected]> |

To |
[email protected] |

Subject |
Re: st: ZOIB procedure |

Date |
Mon, 19 Sep 2011 10:11:39 +0200 |

On Sun, Sep 18, 2011 at 11:51 PM, Prerna S <[email protected]> wrote: > I am using zoib (Stata 11.2) to estimate 2 proportions. I have 3 questions. -zoib- is a user written program. The Statalist FAQ asks you to specify where you got it from. This is not to annoy you, but to help you. Experience learns us that there are often different versions of user written software floating around in cyber space. How can we help you if we do not know which version you are talking about? I am assuming you are talking about -zoib- as available from SSC. > 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 > something. -suest- only changes the variance covariance matrix, such that you can perform tests across models. Like the -vce(robust)- option, they do not change the estimated coefficients. To perform those tests, you need specify them yourself using -test-. For more see the manual entries of -suest- and -test-. I am guessing, but it seems to me you are worried about correlation of error terms across income sources. This is a hard problem, in part because proportions are inherently (negatively) correlated. If one proportion increases, than the rest will have to decrease. Some work has been done by Aitchison (2003), but he sacrifices an interpretable effect of explanatory variables on the proportion in order to get the correlations right. This is fine if you are mainly interested in those correlations, but a problem otherwise. Alternative solutions are -dirifit- and -fmlogit-. The former makes the strong assumption that the correlations between proportions are only due to that automatic correlation that occurs between proportions. -fmlogit- uses a quasi-likelihood argument to by-pass that entire problem. Both -dirifit- and -fmlogit- can be downloaded from SSC. They are discussed in this talk at the 2010 German Stata Users' meeting: <http://ideas.repec.org/p/boc/dsug10/04.html>. > 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? The Statalist FAQ asks you to provide full references rather than a name/year reference. > 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? The usual problems are only usual in the linear regression case. You will need to redefine them when dealing with other types of models. Multicolinearity is never a problem, it is just an unfortunate historical accident that it ended up in that row of "problems". Heteroskedasticity, is in and of itself not a problem when dealing with a (zero-one-inflated) beta distribution, as that distribution allows for heteroskadasticity. This leaves the question open whether it does so correctly. Normality is only a problem when you assume a normal distribution, which is obviously not the case when you estimate a zero-one-inflated beta distribution. This leaves the question whether your data is well enough approximated with a zero-one-inflated beta distribution. In short you need to rethink what those "problems" mean in the context of your model. A good source is chapter 4 of Hardin and Hilbe (2007). Hope this helps, Maarten (author of -zoib-) Aitchison (2003) The Statistical Analysis of Compositional Data. Caldwell, NJ: The Blackburn Press. James W. Hardin and Joshep M. Hilbe (2007) "Generalized Linear Models and Extensions", second edition. College Station, TX: Stata Press. <http://www.stata.com/bookstore/glmext.html> -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: ZOIB procedure***From:*Prerna S <[email protected]>

**Re: st: ZOIB procedure***From:*Prerna S <[email protected]>

**References**:**st: ZOIB procedure***From:*Prerna S <[email protected]>

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