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Generalized Linear Models and Extensions, 3rd Edition

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Author Info

  • James W. Hardin
  • Joseph W. Hilbe

Abstract

Generalized linear models (GLMs) extend linear regression to models with a non-Gaussian, or even discrete, response. GLM theory is predicated on the exponential family of distributions—a class so rich that it includes the commonly used logit, probit, and Poisson distributions. Although one can fit these models in Stata by using specialized commands (for example, logit for logit models), fitting them as GLMs with Stata’s glm command offers some advantages. For example, model diagnostics may be calculated and interpreted similarly regardless of the assumed distribution. This text thoroughly covers GLMs, both theoretically and computationally. The theory consists of showing how the various GLMs are special cases of the exponential family, general properties of this family of distributions, and the derivation of maximum likelihood (ML) estimators and standard errors. The book shows how iteratively reweighted least squares, another method of parameter estimation, is a consequence of ML estimation via Fisher scoring. The authors also discuss different methods of estimating standard errors, including robust methods, robust methods with clustering, Newey–West, outer product of the gradient, bootstrap, and jackknife.

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Bibliographic Info

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This book is provided by StataCorp LP in its series Stata Press books with number glmext and published in 2012.

Edition: 3rd
ISBN: 978-1-59718-105-1
Order: http://stata-press.com/books/generalized-linear-models-and-extensions/
Handle: RePEc:tsj:spbook:glmext

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Web page: http://www.stata-press.com/

Related research

Keywords: generalized linear models; logit; probit; Poisson;

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Cited by:
  1. Lutz Bellmann & Hans-Dieter Gerner, 2012. "Further Training and Company-Level Pacts for Employment in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(2), pages 98-115, March.
  2. Stanislav Kolenikov, 2001. "Review of Stata 7," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 637-646.
  3. Aysit Tansel & Mehmet Tasci, 2004. "Determinants of Unemployment Duration for Men and Women in Turkey," Working Papers 2004/6, Turkish Economic Association.
  4. Jones, Mark & Dobson, Annette & Onslow, Mark & Carey, Brenda, 2009. "Negative binomial mixed models for analysis of stuttering rates," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4590-4600, October.
  5. Sheu, Ji-Tian & Lu, Jui-fen Rachel, 2014. "The spillover effect of National Health Insurance on household consumption patterns: Evidence from a natural experiment in Taiwan," Social Science & Medicine, Elsevier, vol. 111(C), pages 41-49.

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