[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
David Jacobs <jacobs.184@sociology.osu.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 15 Mar 2004 15:01:48 -0500 |

In theory there's no reason why you can't use the Stata NBREG count estimator for time-series data. One potential problem concerns autocorrelation. As you probably already know, OLS assumes independence between cases, but this assumption often is violated when the data is longitudinal. Corrections are available for least squares estimators , but I am only aware one article that attempted to correct negative binomial estimates for autocorrelation and that correction evidently was an ad hoc method supplied to the author by a colleague. Another possibility is the Newey West which corrects for both autocorrelation and heteroskedasticity and is available for NBREG in Stata (or at least this was the case in version 7)

Often, however, there are alternatives. First, if your counts are large the number of zero limit scores is modest, your counts probably won't be poisson distributed. If they are normal or if a transformation will make them normal you should use least squares and this estimator can readily be corrected for autocorrelation. Use normality tests on your counts and see if they reject normality. Or try transformations like loging or square rooting and then test for normality.

If your counts are low and probably poisson distributed, you might get a break and not have autocorrelation.

Dave Jacobs

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/

* * 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>

- Prev by Date:
**Re: st: xtnbreg question, part 2** - Next by Date:
**Re: st: xtnbreg question, part 2** - Previous by thread:
**Re: st: xtnbreg question, part 2** - Next by thread:
**Re: st: xtnbreg question, part 2** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |