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

Anirban Basu ()
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Anirban Basu: Section of General Internal Medicine, University of Chicago

Stata Journal, 2005, vol. 5, issue 4, pages 501-516

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.

Keywords: pglm; pglmpredict; EEE; GLM; skewed; costs; estimating equations; link functions; variance functions (search for similar items in EconPapers)
Date: 2005

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Persistent link: http://EconPapers.repec.org/RePEc:tsj:stataj:v:5:y:2005:i:4:p:501-516

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