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Re: st: correcting overdispersion in xtpoisson


From   Pierre Azoulay <[email protected]>
To   [email protected]
Subject   Re: st: correcting overdispersion in xtpoisson
Date   Thu, 15 Dec 2005 21:55:23 -0500

I'm not sure that stata has a test for overdispersion in panels.
Certainly, you could use xtnbreg and see if the results differ much.
In my experience they don't. Remember, however, that poisson (and
xtpoisson) have one great advantage over nbreg (and xtnbreg): they
produce estimates that are consistent even if the underlying data
generating process is not poisson. Remember, also, that poisson
(without xt) can spew out robust standard errors. Robustness here
means robustness to failure of the distributional assumption. However,
the robust option is not available for xtpoisson...if the Gods of
Stata hear me, maybe that option will be implemented in an update. For
everyone working with publication and patent data, this would be a
life changing event!

Regards,

Pierre


----------------------------------------------------------------------------------
Pierre Azoulay
Associate Professor of Management
Columbia University                           Phone: (212) 854-9684
Graduate School of Business                Fax:   Don't send any
3022 Broadway, Uris Hall 704
New York, NY 10023                        http://www.columbia.edu/~pa2009/

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