I'm experimenting with proc mcmc in SAS EG to build a zero truncated negative binomial (ZINB) regression for an insurance model that predicts annual health expenses = y based on the prior year's data. I've referenced the following paper: http://support.sas.com/resources/papers/proceedings13/450-2013.pdf. Unfortunately SAS EG doesn't support proc fcmp so I can't use the ZINB MCMC code as written in the article, but that shouldn't be a huge obstacle. My code is below: ods graphics on; proc mcmc data=dataset seed=123 nmc=10000 nbi=1000 thin=3 outpost=post_zinb; parms lbeta0 1.9 lbeta1 -2.6 lbeta2 -4.8 lbeta3 -3.7 pbeta0 6.5 pbeta1 0.8 pbeta2 1.9 pbeta3 1.1 alpha 1; prior pbeta: ~ normal(0,var=10); prior lbeta: ~ normal(0,var=10); prior alpha ~ gamma(2, iscale=2); link1 = lbeta0 + lbeta1*x1 + lbeta2*x2 + lbeta3*x3; * Logistic regression formula ; pi = ( 1/(1+exp(-link1))); * Logit transformation of link1 ; mu = exp(pbeta0 + pbeta1*x1 + pbeta2*x2 + pbeta3*x3); * Negative binomial regression formula in loglink function ; num_failures = y; prob_success = mu/(y + mu); num_successes = 1/alpha; llike=log(pi*(y eq 0) + (1-pi)*pdf("negbin", num_failures, prob_success, num_successes)); * ZINB log-likelihood function ; model general(llike); run; ods graphics off; Running the above code yields: ERROR: Observation 1 yields an invalid log-likelihood value. NOTE: The SAS System stopped processing this step because of errors. There are several different ways to parameterize the negative binomial prob. density function - have I incorrectly specified the parameters for the SAS negative binomial pdf function? Many thanks! Robert
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