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Re: st: Autocorrelation in Poisson regression


From   "Frederick J. Boehmke" <fboehmke@fredboehmke.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Autocorrelation in Poisson regression
Date   Wed, 6 Aug 2008 19:03:59 -0500 (CDT)

This is beyond my area of expertise, but you may find the following 
article and the cites contained within it helpful, depending on what kind 
of autocorrelation you wish to model:

Brandt, Patrick T. and John T. Williams. 2001. "A Linear Poisson 
Autoregressive Model: The Poisson AR(p) Model." Political Analysis, 9(2): 
164-184.

Best luck.

On Wed, 6 Aug 2008, Antonio Silva wrote:

> Date: Wed, 6 Aug 2008 17:00:50 -0400
> From: Antonio Silva <asilva100@live.com>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Autocorrelation in Poisson regression
> 
>
> I am very impressed with the quality of responses I have gotten, thank you so much.
>
> In response, I have some comments and a few more questions. First, for Kieran, let me clarify: My dependent variable is “# of groups founded.” What this means is that for each year of the study (there are 40 years) there is a number, which represents the number of new organizations that come into existence in that year. So, for example, in 1965, 3 new groups were formed, in 1966, 2 new groups were formed, and in 1967 0 new groups were formed. So I have a number for each year in the period under study. Does that make sense?  I have tested for overdispersion and this is not a problem.
>
> Second, in theory, there is an unlimited number of groups that could be formed in any given year, and thus there appears to be no heterogeneity of risk, if I understand that concept correctly. Of course, Kieran may feel that this particular count variable is simply not appropriate for use in Poisson regression, and I am curious to hear your thoughts on this.
>
> As for Stas’s comments, I wholeheartedly agree that the reviewer in question is not much of a reviewer. In fact, he/she even included in his/her review that he/she “was not sure if autocorrelation is even a problem in Poisson regression,” but that I should discuss it anyway. I have looked everywhere, and all the books and articles I read on Poisson basically imply (but do not explicitly state in a way that is quotable) what Kieran said—they say that if a process truly is Poisson, autocorrelation is not a problem. I think that Stas’ suggestion (that I include some language about there not being a standard test for autocorrelation) is a very good one, and may well work. Though I have to be honest, I am not sure what he means by discretization. Could you indulge me a little more and tell me what you mean by this?
>
> Finally, David, can you give me an idea of how I can generate the deviance residuals after using the Poisson command in Stata? I thought this option was available for other methods but not Poisson. And what should I look for in the correlogram?
>
> I am sorry to be asking such basic questions, but this is the first time I have ever used Poisson regression. And to be honest, the reason I am using it is because some other reviewer told me to because my dependent variable was a count variable it was the best way to go.
>
> Thanks again. This has been very helpful and useful to me.
>
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