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Re: st: poisson


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: poisson
Date   Wed, 8 Mar 2006 11:24:11 -0500

"robust specifies that the Huber/White/sandwich estimator of variance
be used in place of the traditional calculation; see [U] 20.14
Obtaining robust variance estimates"
 which is not the same as estimating a negative binomial model, where
the variance and mean of Y conditional on X are not given by the same
functional form (unlike poisson models).  That said, poisson models
have the very nice feature of being consistent under *very* weak
assumptions.

On the other hand, the fixed-effects poisson you have estimated
suffers from the incidental parameters problem--you might try:
 . xi:i.year
 . xtpoisson depvar indepvar _Iyear*,  fe i(id) cluster(id) robust
 . xtpoisson depvar indepvar _Iyear*,  fe i(id)
 . xtnbreg depvar indepvar _Iyear*,  fe i(id)
and maybe you can calculate deviance statistics by hand to measure
goodness-of-fit, though I'm not sure about that part. If someone else
on the list has an idea on how to generalize the techniques (mentioned
at -help poisson postestimation-), please chime in.

On 3/7/06, Scott Cunningham <scunning@gmail.com> wrote:
> I am estimating a Poisson with fixed effects model using:
>
> xi:poisson depvar indepvar i.year i.id, robust
>
> I use the "robust" to correct the standard errors because of
> overdispersion.
>
> Moments ago, I was looking at various poisson postestimation
> commands.  I ran:
>
> estat gof
>
> The chi-squared result shows the poisson is not appropriate. But
> reading on, I couldn't be sure whether correcting the standard errors
> for overdispersion was the correct response to the problem the
> postestimation command was revealing.  If the chi-squared result from
> a goodness of fit result is as large as I said, but I've corrected
> the standard errors for overdispersion, then should I be skeptical of
> using Poisson in this situation?  If so, can someone help me see the
> intuition? Thanks.

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