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Research on stressful life events (SLEs) and substance use was extended by examining gender differences in the relationship between SLEs and the use of four substances, determining whether SLEs were uniquely related to each type of substance use, and using tobit regression analysis to increase statistical conclusion validity. Data were obtained from a random sample of 606 men and 1,001 women. Analyses revealed that the magnitude of the positive relationship between SLEs and cigarette use did not differ across men and women, whereas SLEs were unrelated to illicit drug use among both men and women. In contrast, SLEs were more strongly related to alcohol use among men than women, whereas they were more strongly related to psychotherapeutic drug use among women than men.