[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: RE: RE: Count data regression
On Mar 23, 2006, at 12:00 PM, Rajesh Tharyan wrote:
(Different Scott talking now).
Re your reply to hugh..
2. For the Poisson MLE, valid inference requires equality of the
mean and variance (equidispersion) - it does not require that the
variable have a Poisson distribution.
I didn't get point two.. my impression was that it is the
the underlying variable which sort of dictated whether you used a
regression or a nb regression..etc. but of course with a poission
distributed variable you always have mean=variance..
When you don't have equidispersion, you lose precision in your
estimates, but you don't lose consistency. So the Poisson is still
consistent even if the conditional mean does not equal the
conditional variance. Thankfully, there are ways to correct the
standard errors for overdispersion. See the -poisson, robust- option
and the -xtpoisson, vce(boot)-. I don't have my Cameron and Trivedi
MICROECONOMETRICS handy, but if you look in there, they talk about
this correct procedure, and I think -poisson, robust- does this. -sc
* For searches and help try: