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RE: st: correct for autoregression in log link function in survey data


From   "Li, Rui (CDC/ONDIEH/NCCDPHP)" <eok8@cdc.gov>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: correct for autoregression in log link function in survey data
Date   Mon, 9 Jan 2012 20:06:51 +0000

Hi Stas,

Thanks for your response. I am using a time series data (cross-sectional time series).  I wanted to account for first-order auto-correlation of the lags in the mean level of outcome. 

Rui

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas Kolenikov
Sent: Monday, January 09, 2012 2:21 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: correct for autoregression in log link function in survey data

What is the autocorrelation that you have in your survey? What exactly do you mean by "accounting" for it?

The standard errors are arguably easier to fix. If your survey design has measurement occasions nested in households nested in PSUs, then your -svy- already controls for an arbitrary correlation patterns within PSUs (including correlated observations within the household).
In other words, you don't need to do anything.

Theoretically, you can obtain more efficient point estimates if you account for autocorrelation between observations nested in the household. -glm- won't allow for that, so you would need to look elsewhere -- for instance, at -xtgee-. However, the latter is neither supported by -svy-, nor does it have -vce(cluster)- option. I am guessing that you can use -bsweights- with -svy bootstrap- to run this.

If it works, I would be quite curious to see how big your efficiency gains are (by how much your standard errors change).

On Mon, Jan 9, 2012 at 12:57 PM, Li, Rui (CDC/ONDIEH/NCCDPHP) <eok8@cdc.gov> wrote:
> I am using a log link fuction to estimate cost data from a survey, 
> using svy:glm cost $char, link(log) family(gamma) le(95)
>
> How can I account for auto-correlation in this model?
>
> Thanks!
>
> Rui
>
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--
Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only.

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