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st: xtnbreg question, part 2

From   "Jennifer S. Earl" <[email protected]>
To   [email protected]
Subject   st: xtnbreg question, part 2
Date   Mon, 15 Mar 2004 11:15:09 -0800

Hi, I posted the following message on Friday and it was suggested by a list member that I should be using the time series modules, not the panel modules. I was also referred to a Stata volume on time series models.

I am still uncertain about the answer though: my dependent variable is count data, which is not appropriately analyzed by linear models. I looked at the table of contents and index for the time series volume before I sent my original message and I did not see any commands for count data (such as negative binomial models). However, the xt series does have xtnbreg.

So, my questions still remain: (1) is there a time series (but not cross sectional time series) command in stata for negative binomial models of count data (and if so, what is the command); and (2) if there is not, can I approximate this by manipulating how i and t are set in the xtnbreg command?




Date: Fri, 12 Mar 2004 16:44:18 -0800
From: "Jennifer S. Earl" <[email protected]>
Subject: st: xtnbreg question

I have time series data on a set of variables for one nation for a period
of about 40 years. My dependent variable is a count variable. After
looking over the Stata manuals for xtnbreg, I am not sure how to
accommodate the fact that while I have time series data, these data are
not composed of cross-sections with multiple units in each cross section
(e.g. I do not have data for multiple nations in each year, just data on
one nation for multiple years).

The manuals seems to suggest that Stata wants to handle data where i=panel
identifier (e.g., an id number for a person who contributes data for
multiple years, or a country id when multiple countries are present in the
time series) and t=time identifier (e.g., year) in xtnbreg. Further
xtnbreg *requires* that "i" is set either in the xtnbreg command or using
"iis (varname)", even though it does not require "t" to be set.

I have two questions: (1) should I be using a command other than xtnbreg
to analyze this time-series count data; and (2) if xtnbreg is appropriate,
will using the following settings:

iis year
tis year
xtnbreg dep_count_var ind_var1 ind_var2...

produce appropriate results?

Thanks in advance,


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Date: Fri, 12 Mar 2004 20:03:13 -0500
From: David Greenberg <[email protected]>
Subject: Re: st: xtnbreg question

If you have data for a singlenation for multiple years, you should be
estimating time series models, not models for panel data. Stata Press
publishes an entire manual devoted to such models.

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