Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Time Series Poisson


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time Series Poisson
Date   Sun, 30 Oct 2011 20:53:40 -0500

One of my students (a political scientist of course -- they always bring up these weird problems I have never encountered myself!) has a data set that consists of 45 yearly records for the United States. The dependent variable is a count. It sounded to me like the sort of thing that should be analyzed by a time series poisson model. But, unfortunately, I wasn't even sure that such a thing existed - I was hoping there was a tspoisson command, but no such luck.

However, I found this Stata Technical Bulletin for a very old user-written command called nwest. http://www.stata.com/products/stb/journals/stb39.pdf. It says "This article discusses the calculation of standard errors that are robust to heteroscedasticity and serial correlation for probit, logit, and poisson regression models."

I also found this slightly newer post from 2003: http://www.stata.com/statalist/archive/2003-06/msg00258.html.

What I take from this is that he should -tsset- his data and use -glm- to estimate a Poisson model with Newey-West standard errors, e.g. something like

glm y x1 x2 x3, family(poisson) link(log) vce(hac nwest)

Does this sound right, and if so is this the best he can do, at least with Stata?


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index