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st: panel conintegration and negative binomial


From   Yee Kyoung Kim <icejean@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: panel conintegration and negative binomial
Date   Sun, 26 Apr 2009 12:15:16 +0900

Dear subscribers,

I have patent firm-level panel data and I would like to estimate the
following estimation with negative binomial (xtnbreg)

patent_it=f(r&d_stock_it, X_it, year dummies, industry dummies)

But, I suspect the unit root of patent and R&D stock variable. (I did
panel unit-root test)
However, if I do the first-difference, the data may have the negative
integer which is not valid for the negative binomial.
I tried with the difference of summation of patent as the dependent
variable with the differenced R&D stock variable but keep failing for
the convergence.

I wonder whether anybody can give me some advice.
I would deeply appreciate it in advance.

Best,

Yee Kyoung

-- 
Yee Kyoung Kim
Department of Economics
PhD candidate, Seoul National University, Seoul, Korea
(Phone) 016-595-6148
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