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Re: st: Time Series Poisson
Nick Cox <email@example.com>
Re: st: Time Series Poisson
Tue, 1 Nov 2011 20:09:54 +0000
This reference sounds like a mangled allusion to
A. Colin Cameron and Pravin K. Trivedi, Regression Analysis of Count Data
Econometric Society Monograph No.30, Cambridge University Press, 1998.
Note that Pravin Trivedi is one, and only one, person.
On Tue, Nov 1, 2011 at 8:00 PM, Jacobs, David
> I think the main reason that this procedure is unusual has to do with the origins of time-series. This may be a bit of an overstatement, but most of the time-series users (and probably developers) are macroeconomists who rarely if ever seem to work with non-linear estimators.
> Even if I'm wrong about this conjecture, it nevertheless is the case that corrections for serial correlation in count models could be much stronger. My source for this is THE book on count models by Priven and Trevidi (sp?) who claim that corrections for auto-correlation in count models are not well developed. That book was published in the mid 1990s, so perhaps this claim is not true now, but the responses to your initial post suggest that it is still the case.
> Dave Jacobs
> -----Original Message-----
> From: firstname.lastname@example.org [mailto:email@example.com] On Behalf Of Richard Williams
> Sent: Monday, October 31, 2011 9:09 PM
> To: firstname.lastname@example.org; email@example.com
> Subject: Re: st: Time Series Poisson
> At 08:53 PM 10/30/2011, Richard Williams wrote:
>>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:
>>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?
> Thanks again to everyone who has offered suggestions, both on and off
> list. I thought there might be no suggestions, and instead I am
> feeling a bit overwhelmed by all the articles and ideas that have
> been tossed out. Two followup questions:
> 1. Is there any particular reason that more of the methods in the
> suggested articles haven't already been programmed into Stata? Is it
> because of lack of demand, or is it because of disagreement over what
> is legitimate or what is best?
> 2. What about the original idea suggested above, using glm with
> Newey-West errors? Is it a terrible idea, better than nothing, or not
> so bad? It is the one thing I know my student could figure out how to
> run in Stata, whereas I am not so sure with all the other ideas that
> have been suggested.
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