GLM, cov for different dispersion
Posted: Fri Jul 08, 2011 6:18 am
How the covariance are estimated in GLM with different settings of dispersion?
my questions are
1. compare eq061 with eq063, with unit and 3 as dispersion value respectively, however, give the same cov estimation
2. compare eq060 with eq061, what are the difference when estimating cov
3. compare eq060 with eq062, the std errs are scaled by eq060.@deviancestat/eq060.@dispersion
Code: Select all
%ex7 = "\Example Files\EV7 Manual Data\"
%ch27 = "Chapter 27 - Generalized Linear Models"
%wf = @evpath + %ex7 +%ch27 +"\strike.wf1"
wfopen %wf
'how the cov are estimated
equation eq060.glm(family=poisson,disp=pearson,covinfo=bhhh,c=1e-8) numb c ip feb
equation eq061.glm(family=poisson,disp=unit,covinfo=bhhh,c=1e-8) numb c ip feb
equation eq062.glm(family=poisson,disp=deviance,covinfo=bhhh,c=1e-8) numb c ip feb
equation eq063.glm(family=poisson,dispval=3,covinfo=bhhh,c=1e-8) numb c ip feb
1. compare eq061 with eq063, with unit and 3 as dispersion value respectively, however, give the same cov estimation
2. compare eq060 with eq061, what are the difference when estimating cov
3. compare eq060 with eq062, the std errs are scaled by eq060.@deviancestat/eq060.@dispersion