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st: Time Series Poisson

From   Richard Williams <>
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. 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:

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
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