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Extended generalized linear models: Simultaneous estimation of flexible link and variance functions

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Author Info
Anirban Basu () (Section of General Internal Medicine, University of Chicago)
Abstract

I describe a command that simultaneously solves the extended es- timating equations estimator for parameters in the link and variance functions along with those of the linear predictor in a generalized linear model. The method addresses difficulties in choosing the correct link and variance functions in these models. It decouples the scale of estimation for the mean model, determined by the link function, from the scale of interest for the scientifically relevant effects. It also estimates a flexible variance structure from the data, leading to efficient estimation. Copyright 2005 by StataCorp LP.

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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 5 (2005)
Issue (Month): 4 (December)
Pages: 501-516
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Handle: RePEc:tsj:stataj:v:5:y:2005:i:4:p:501-516

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Related research
Keywords: pglm; pglmpredict; EEE; GLM; skewed; costs; estimating equations; link functions; variance functions;

References listed on IDEAS
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  1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
  2. Manning, Willard G. & Mullahy, John, 2001. "Estimating log models: to transform or not to transform?," Journal of Health Economics, Elsevier, vol. 20(4), pages 461-494, July. [Downloadable!] (restricted)
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