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From |
"Jesper B. Sorensen" <sorensen@mit.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtnbreg question, part 2 |

Date |
Mon, 15 Mar 2004 14:30:03 -0500 |

I agree that it doesn't sound like time series. It seems to me that what you want is "plain old" negative binomial or poisson models - this is a common usage of these models. From the viewpoint of the estimator, it doesn't much care if the "units" over which you observe the counts are cross-sectional units (eg locations) or historical units (your case).

Of course the user is responsible for figuring out whether the assumptions of the models are met, particularly wrt independence of observations. If you have concerns about autocorrelation, the models can be generalized through quasi-likelihood. See eg The Analysis of Count Data: Overdispersion and Autocorrelation, David N. Barron, Sociological Methodology, Vol. 22. (1992), pp. 179-220.

Hope this helps,

Jesper

At 11:15 AM 3/15/2004 -0800, you wrote:

Hi, I posted the following message on Friday and it was suggested by a list member that I should be using the time series modules, not the panel modules. I was also referred to a Stata volume on time series models.~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

I am still uncertain about the answer though: my dependent variable is count data, which is not appropriately analyzed by linear models. I looked at the table of contents and index for the time series volume before I sent my original message and I did not see any commands for count data (such as negative binomial models). However, the xt series does have xtnbreg.

So, my questions still remain: (1) is there a time series (but not cross sectional time series) command in stata for negative binomial models of count data (and if so, what is the command); and (2) if there is not, can I approximate this by manipulating how i and t are set in the xtnbreg command?

Cheers,

Jennifer

------------------------------ Date: Fri, 12 Mar 2004 16:44:18 -0800 From: "Jennifer S. Earl" <jearl@soc.ucsb.edu> Subject: st: xtnbreg question I have time series data on a set of variables for one nation for a period of about 40 years. My dependent variable is a count variable. After looking over the Stata manuals for xtnbreg, I am not sure how to accommodate the fact that while I have time series data, these data are not composed of cross-sections with multiple units in each cross section (e.g. I do not have data for multiple nations in each year, just data on one nation for multiple years). The manuals seems to suggest that Stata wants to handle data where i=panel identifier (e.g., an id number for a person who contributes data for multiple years, or a country id when multiple countries are present in the time series) and t=time identifier (e.g., year) in xtnbreg. Further xtnbreg *requires* that "i" is set either in the xtnbreg command or using "iis (varname)", even though it does not require "t" to be set. I have two questions: (1) should I be using a command other than xtnbreg to analyze this time-series count data; and (2) if xtnbreg is appropriate, will using the following settings: iis year tis year xtnbreg dep_count_var ind_var1 ind_var2... produce appropriate results? Thanks in advance, Jennifer * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ ------------------------------ Date: Fri, 12 Mar 2004 20:03:13 -0500 From: David Greenberg <dg4@nyu.edu> Subject: Re: st: xtnbreg question If you have data for a singlenation for multiple years, you should be estimating time series models, not models for panel data. Stata Press publishes an entire manual devoted to such models.* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

Jesper B. Sørensen

Richard S. Leghorn (1939) Associate Professor of Strategic Management

Sloan School of Management

Massachusetts Institute of Technology

E52-581

Cambridge, MA 02142

http://web.mit.edu/sorensen/www/

(617) 253 7945 -- voice

(617) 253 2660 -- fax

*

* For searches and help try:

* http://www.stata.com/support/faqs/res/findit.html

* http://www.stata.com/support/statalist/faq

* http://www.ats.ucla.edu/stat/stata/

**References**:**st: xtnbreg question, part 2***From:*"Jennifer S. Earl" <jearl@soc.ucsb.edu>

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