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  • 1.  Instrumental variables in Negative Binomial regression?

    Posted Fri October 23, 2020 02:58 PM

    Is is possible to introduce instrumental variables in a negative binomial regression i SPSS. If so, how is this done?






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  • 2.  RE: Instrumental variables in Negative Binomial regression?

    Posted Fri October 23, 2020 03:48 PM

    Not directly, but you could estimate the reduced form and then use the predicted values from that in a second stage. However, you would need to correct the standard errors from the second stage.






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  • 3.  RE: Instrumental variables in Negative Binomial regression?

    Posted Sat October 24, 2020 11:18 AM

    Thanks! That is certainly something I could do. Do you have any recommendations on what method to use to correct the standard errors in the second stage?






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  • 4.  RE: Instrumental variables in Negative Binomial regression?

    Posted Sat October 24, 2020 02:39 PM

    If this were an OLS regression, you would just need to recalculate the error variance estimate using the actual second stage variables and modify the coefficient statistics accordingly. It's a little more complicated. Look at the estimation details in the Algorithms doc to figure out what to modify. Offhand, I don't know.






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