Date: Thu, 29 Feb 1996 22:14:34 GMT
Reply-To: Alex Pearson <pearson@SAMIAM.COLORADO.EDU>
Sender: "SAS(r) Discussion" <SAS-L@UGA.CC.UGA.EDU>
From: Alex Pearson <pearson@SAMIAM.COLORADO.EDU>
Organization: University of Colorado at Boulder
Subject: Simultaneous regressions
Greetings,
Can anyone out here in SASland help one of our professors with a
simultaneous regression problem? I'm afraid I'm not familiar enough with
SYSLIN and Logistic to be of much help. Here is the problem:
Thanks for your help with this problem. I am writing a paper with Ed
Nelling of Georgia Tech, and we need to run a three equation simultaneous
equation regression model where the first equation is either a Poission
regression or a multinomial PROBIT regression (we could do either) and
the next two regression equations are OLS.
SYSLIN in SAS seems to only allow us to do three OLS equations
simultaneously. Due to the count nature of the dependant variable in one
of the equations, we really need to have one of the three equations be a
regression that assumes that the dependant variable is of a count nature,
such as the Poisson regressions or multinomial Probit regressions.
Although the perfect solution is a SAS proceedure that will accept one
Poisson regression and then two OLS regressions in a simultaneous
framework, we could use multinomial Probit (or Logit) instead of
Poisson. We would also be willing to try another programming language
instead of SAS, like SPSS or Shazam!, although I would prefer SAS if
possible. We would also be willing to try a three equation simultaneous
regression where all three of the regressions are Poisson or multinomial
probit, although this is less beneficial.
Thanks for your help in this matter!
*****************************************************************************
Michael A. Goldstein tel: (303) 492-1242
Asst. Professor of Finance fax: (303) 492-5962
Univ. of Colorado at Boulder email: Michael.Goldstein@Colorado.edu
Campus Box #419
Boulder, CO 80309-0419
*****************************************************************************
Alex Pearson
Alex.Pearson@Colorado.EDU (303) 492-3879
Statistical Computing and Consulting Office
University of Colorado
